Hello. I have a different answer from the previous expert.
YOU ARE THE TARGET OF A CONTEST SCAM. You did not win anything. Do NOT cash any check they may have sent you. It will bounce and you will be liable to your bank for the overdraft. Do not pay any fees to the "contest." It's all a fraud.
There is no such agency as The Consumer Protection Agency. On a Federal level, this nation's consumer regulatory authority is the Federal Trade Commission. On a state level, it's each state's Attorney General's Office that is responsible for consumer issues. None of these agencies, however, has anything to do with distributing contest winnings.
This "agency" is just a scammer phishing for personal information with which to commit identity theft and trying to get just as much money as you are willing to let him take in order to collect your non-existent winnings.
Here's what you need to know:
Scammers want you to believe that you can be picked out of thin air to win millions, but it simply isn't true. You must always enter a contest to be able to win it.
Lottery winners are paid by the proceeds of lottery ticket sales. If you didn't buy and can't produce a ticket with numbers on it that match the winning numbers, you cannot collect a prize. Sweepstake winners complete a form that has their winning numbers on it and the contest keeps a set of the same information. Once again, proof of entry is required before you can collect.
Also, when you win a real contest, the money is already yours. You never have to pay out of pocket to get your own money. If there were any kind of transfer fees, the contest would take it from your money that they already have. They wouldn't need to get it from you. The up-front fee, no matter how logical sounding the reason for it is, is the #1 sign of a contest scam.
Every time you get an unsolicited out of the blue message with news that is much too good to be true, it is a fraud.
Cease contact with these people. Send no funds. Block them from further contact. Report the fraud to the Internet Crime Complaint Center at IC3.gov and to the Federal Trade Commission at FTC.gov.