To go winchester means to be out of ammunition (i.e., you've fired it all).

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Note added at 6 hrs 20 mins (2005-03-17 13:05:29 GMT)
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The second link has some theories. Here is one more.
>>\"I was playing European Air War --Battle of Britain section, and sometimes
the pilots would shout out \"I\'ve gone Winchester!!\". Does anyone know what
this expression means?\"<<

It means that one is out of ammunition. To get an idea where the expression
came from, get a mental picture of \"Click! [Lever action, a la Winchester]
Click! [Lever action] Click!\"
http://www.forpilots.com/archive/rec.aviation.simulators/5/m...

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Note added at 6 hrs 21 mins (2005-03-17 13:06:16 GMT)
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Umm. no, I think it\'s supposed to mean that you\'ve run out of missiles,
and now you only have bullets left (hence, you\'ve gone \"Winchester\").

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Note added at 6 hrs 23 mins (2005-03-17 13:07:44 GMT)
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Not sure that I agree with either of these viewpoints. Years back I had the
acquaintance of a couple of pilots that flew for Britain during WWII. While
they didn\'t use the term \"going Winchester\", they understood its meaning to
be I\'m *nearly* (as best a pilot could count) out of ammo. \"Going/gone
Winchester\" meant that you\'re down to attempting to single-fire
(lever-action, bang, lever-action, bang) your guns, not letting the enemy
know that you\'re about empty.