Do The DV Lottery Winner Will Need A Sponsor?

Yes. The DV Lottery winners must provide a sponsor from the USA. The Sponsor must be a citizen or can be a LPR holder. This requirement was made recently to prevent the DV Lottery winners from becoming a public charge. Normally public charge means that a person depending on government for the food, shelter and other benefits.

DV 2009 winners when going to the interview after receiving the second letter must provide this "Affidavit Of Support" to the consular officer. The consular officer will verify the validity of the document before issuing the Visa if the applicant is eligible for the visa.
There is a downloadable form Called I-134 it should be filled by the sponsoring person and must be sworn in front of any of the officials as recommended in the instruction manual. Sponsor must have the required earning or assets in USA.

View the Instruction and the downloadable form from the US Government web site.
Click http://www.uscis.gov/files/form/I-134.pdf