To understand what Winston means by this phrase, take a look at the line which follows:
He loved Big Brother.
In other words, Winston no longer thinks of rebellion; he is no longer concerned with bringing down the Party. His experiences in the Ministry of Love, particularly in Room 101, have successfully moulded him into an obedient Party member. His sense of individualism and his desire for free thought—themes which dominated the previous chapters of the novel—have disappeared.
This is, perhaps, not the ending that the reader might have expected, but it is significant because it demonstrates the power of Big Brother and, more importantly, how the processes of torture and brainwashing can erode any personal loyalty, like the loyalty between Winston and Julia.
The line you refer to is at the end of the book in Part 3, ch. 6. Winston has gone through the brain-washing and torture. He has confessed and he has implicated everyone he possibly could implicate. When a memory from his childhood enters his head, he pushes it out as a false memory. When he looks at the huge portrait of Big Brother hanging in the café where he sits drinking gin, he understands that he loves Big Brother and that he has no doubts about his loyalty to Big Brother and the Party. This is the "victory over himself". The brain-washing transformation from a person capable of independent thought and independent will to a person able only to think in automatic, controlled thoughts is complete. Winston does not think for himself any longer. He thinks the way the party wants him to think. He cannot reason any longer and he cannot remember anything different from what the Party tells him. Since he has lost the ability to think for himself, he is no longer a person, so, in essence, there is no longer any "himself" - he has been defeated completely, thus giving the "new" Winston a victory. The Party will now kill Winston and he knows it, but he loves Big Brother all the more.
He no longer possess his individuality and is now completely devoted and loyal to Big Brother.