In order to save himself what does Winston cry out?
I assume that you are talking about the place in Book 3, Chapter 5, when Winston is being tortured in Room 101. O'Brien is about to strap the cage with the rat to Winston's face. He has told Winston that the rat will come out and start eating its way through Winston's face.
At that point, Winston is completely desperate. He will do anything to avoid this fate. Because of this, he cries out the last thing that he can think of that might save him. He says
'Do it to Julia! Do it to Julia! Not me! Julia! I don't care what you do to her. Tear her face off, strip her to the bones. Not me! Julia! Not me!'
When he does this, he has finally given in 100% to O'Brien.