Role-playing is the art of interactive storytelling. "Storytelling" in the sense that you're making up a story as you go, improvising and adapting, reacting as befits the personality who you're portraying. "Interactive" in the sense that you're never the only participant, and the line between "participant" and "audience" is blurred or nonexistent. You're telling your story, but every other player is telling his or her story, too. The places where all these stories bump into each other are the points of friction that spark character interaction, which is the whole point of role-playing.
There are no winners or losers although characters may accomplish their goals, whether short-term (kill those goblins) or long-term (become the high priest of a certain god). Then again, they may fail to reach these objectives. Note that failure and defeat are not always net losses for the purposes of your character's story. For example, Darth Vader failed in his duty to his sworn lord, but redeemed his soul in the process.