If you win in a lottery, you should get a w2-G (certain gambiling winnings) when you get a check. How much you get taxed depends on where you live. In Mass, where I am, if the winning amount exceeds 5,000, the taxes are (sometimes) automatically withheld. When you get the check, look at boxes 1 and 14 on the W2-G, that shows how much of your check was automatically givento "the man".
Here's a link to some info:
http://www.bankrate.com/brm/itax/tips/20010131a.asp