In order to save himself what does Winston cry out?
In Part Three, chapter 5, O'Brien takes Winston to the dreaded Room 101, where political prisoners experience their worst fears. In Room 101, Winston is forced to wear a mask-like device containing two vicious rats on one side, which are separated by a cage that is inches from his face. O'Brien proceeds to describe how flesh-eating rats were used as a common form of punishment in Imperial China and Winston begins to panic. Just before the rats are released from the other side of the cage, Winston realizes that there is one person who he can transfer his punishment to and yells,
"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!" (Orwell, 362)
Winston's last words reveal that he has compromised everything and has finally betrayed Julia. By betraying the woman he loves, Winston has finally succumb to the Party's influence and emotionally accepts Big Brother as a benevolent, omnipotent leader.
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.