Although you might not necessarily be able to win at an RPG, you can definately lose! You "lose" when you have a TPK, the party is in some other way completely defeated, or the players no longer enjoy the campaign. (Interestingly, some games such as Call of Cthulhu are built around the premise of everyone eventually dying or going insane.)
Whether you can truly "win" at an RPG is a matter of individual game styles. Unlike stories which have a definate ending, RPGs can always go on as long as the players and DM are interested. Of course, long running campaigns can often become rather episodic and rather stale, but many groups don't like the idea of retiring characters that reach a certain level. Still, I have heard of campaigns that are built around the idea of eventually "winning" - that is to defeat an evil darklord, recover an artifact, save a kingdom, etc. I heard of a DM deciding to end his Ravenloft campaign with a bang, by having the PCs destroy the Demiplane of Dread (and thus the Darklords and Dark Powers), rather than let it go stale after several of the players moved away. Such a game is not for all groups; many groups dislike the idea of some ultimate goal, and feel that it is too railroaded. So the idea of being able to "win" a game depends ultimately on the group.
