What is this insect I found in Russia?
This is a wasp, (see that nice slim "wasp waist" it's got?), which means taxonomically that it is in the order Hymenoptera (which it shares with bees and ants).

Within Hymenoptera, wasps are diverse and often difficult to ID, but it's possible that this is a Braconid or Ichneumon (family Braconidae or Ichneumonidae). If you take a good closeup of its wing veins, chances are an expert (not me) could ID it.