The two are not the same.
One can speak of winning something (without the in) if this item refers to a tangible item such as a single match or sequence of games, e.g. winning a chess match, or the reward for winning, e.g. winning a cup. A good indication that this case pertains is that sentence still makes sense if the item is preceded by the indefinite article a/an (a match, a cup).
When one speaks of winning in (or at) something, he is referring to gaining some advantage for himself in a larger context of a more abstract nature. For example, winning in chess means achieving generally positive results over an indeterminate number of games or possible even an entire career.
Although it is reasonable to speak of winning in the game of life, nobody "wins" the game of life per se; as Woody Allen once said:
"I don't want to achieve immortality through my work; I want to achieve immortality through not dying. I don't want to live on in the hearts of my countrymen; I want to live on in my apartment."
(source: http://www.goodreads.com/quotes/1066-i-don-t-want-to-achieve-immortality-through-my-work-i).