Since the Cold War was not a real war, it did not end with a peace treaty and a formal winner. However, the only way to answer this is to say that the US and its allies won the Cold War.
The Cold War was a contest to see whether communism would dominate the world or whether a more democratic and free market system would dominate. Today, communism is essentially gone. There is no communist state that has any credible hope of spreading its ideology around the world. China is a very strong country and is nominally communist, but it is not truly a communist country.
Not all of the world is democratic. However, only a couple of small countries are truly communist. Communism is essentially dead, which means the West won the Cold War.