US citizens are subject to taxation on income they make which comes from anywhere in the world, including gambling wins. For example, suppose you win the Canadian lottery, you'd also be given the winning amount all at once, without any tax liability in Canada. But the US tax code requires you to list the win on your US income tax form, and to pay taxes on it.
The IRS taxes lottery winners at its highest marginal rates. If you have won $600.00 USD or more, the IRS taxes lottery winnings at a rate of 30%($180'd automatically be deducted from your lottery winnings). Hioweveer, if you area winnner of lottery jackpot of $599.99 USD or less, then you will receive the entire lottery jackpot amount without 30% of withholding tax.

A U.S. citizen or resident must report worldwide income even when he or she does not live in the U.S. (Even if you do not bring it to the U.S.). If you paid taxes in the foreign country, you will claim credit for taxes paid in the foreign country by filing Form 1116.
Another filing requirement is Form TD F 90-22.1. Your U.S. Tax Return: U.S. Citizen or Resident with Foreign Income (http://taxipay.blogspot.com/2008/03/us-citizen-or-resident-with-foreign.html)

Just to be sure, you do know that there are a bunch of email scams that say you have won a foreign lottery when you really haven't. The scammers may suggest that you should keep the cash outside the U.S. for tax reasons. They may also suggest that you should form a foreign company to hold the cash. They will help you form the company for a fee. You should avoid all contact with these criminals.

Also note that legitimate lotteries like those in the European Union DO adher to U.S. tax laws and will notify the IRS of your winnings.

Hence, if the notification is advising you to "keep the lottery winnings outside of the U.S. for tax reasons", you then know for sure that it is a scam and the email should be ignored and deleted.