I'm new and just won a game. How I claim the key?

That means its a gift.

If it's a key the creator needs to click "send key" or w.e. so you can see it, if it's mail, check your emails :D OR he might add you to give the gift there! So many ways O_O

Awesome, I will just wait for the gift...

The giver has up to 7 days to send you the key. It will either show up there as a link or a steam key, or they will email or add you on steam and send it as a gift or tell you in chat.

mark as received after you activate it on your account.

don't regift it or use it on another account

Just as others said, but don't expect to get 3 copies. You are one of 3 winners. Just saying to avoid confusion :)

Read everything here: http://www.steamgifts.com/about/faq

If I win a gift, when can I expect to receive it?

Giveaway creators are allowed one week to send the gift after the giveaway has ended. Depending on the type of gift and the giveaway creator, you might receive the gift to the e-mail address you have listed on the account page, a key might be added beside the gift you won, or the giveaway creator might have sent you a friend request on Steam to make the exchange. Please remain patient, and do not contact the giveaway creator during this time. If the gift is not received after one week, you can mark the gift as not received, and attempt to contact the giveaway creator on Steam to follow-up.