Assuming it's a big win (over $3M), it pretty simple, I'd retire.
Other than being retired, my lifestyle would not change that much. No multi-million dollar mansions, huge boats, etc. which is the trap most people fall into.
Remember, if you win $3M dollars, it's the same as a guaranteed before tax income of over $200K per year for over 20 years. That's a bigger income than the majority of Canadian families.