The Soviets didn't do as well in the Winter War as they probably should have, nor did they do quite as well as everyone expects a major power to do against a primarily agrarian state.
That said, after they fired Voroshilov and put Timoshenko in, they broke the Mannerheim Line (i.e. the only thing keeping the Red Army from Helsinki) and quickly forced the Finns to peace. A peace in which the Soviet Union did get a good deal of the prewar demands it had made in the ultimatum to Finland. I wouldn't say they universally lost the Winter War, they did about as good (or rather, as poorly at first anyway) as any force in a horrifically cold winter (as in the kind where your planes can't fly from the cold) invading one of the most naturally-formidable landscapes in all of Europe.
What the Soviets achieved in the Winter War were pretty good starting positions for taking over the rest of Finland - as pretty much had been the intent of the pre-war demands in the first place. It was the best Stalin could achieve under the circumstances without directly risking the escalation of the war, ending in a state of war with the Western Allies. For Stalin's prestige this was really the bare minimum acceptable result.
The war ended in a situation both sides could just about live with at the moment - and in one that made it well nigh impossible to avoid a revanche from one side or the other. A total Soviet conquest of Finland might have averted the continuation of the war on this front during the war; the same might have been achieved by the USSR not attacking at all. So neither side really won and neither side really lost: the result of the Winter War was an open wound that in the short term benefited nobody. With the exception of Hitler, possibly.