There are two main shopping areas in Winona: Downtown, and along Highway 61.
highway 61
Most of the retail development of the big-box type occurs along or near this highway which traverses Winona east-west. In and around Riverbend, under Sugarloaf, are Target, Wal-mart Supercenter, and Fleet Farm, as well as a variety of smaller, mostly chain stores.
Furthur West, past the lakes, are K-Mart, and the Winona Mall, which, despite its name, includes very little shopping. Then comes the area around Hy-Vee Grocery, which has many smaller businesses, particularly fast-food places. Nearing Goodview, you'll encounter another cluster of stores and restaurants where the highway intersects Highway 14/Pelzer Street, which include JC Penney, and Shopko. Unless you like Big-box retailing, I'd recommend sticking to downtown.
downtown
Winona's historic downtown hosts a variety of interesting architectural styles...including Italianate, Queen Anne, Victorian, Egyption Revival...the list goes on. The city's Heritage Preservation Commission and Visit Winona have walking and driving tour brochures, cassettes, and mp3s available to assist in exploring downtown. Be sure to visit Levee Park, and talk a walk on Third Street from the Courthouse to Watkins, then head back west on Second Street. It is also a nice walk from City Hall west to the Courthouse on Fourth Street. Sandwiched between downtown and WSU is a wonderfully walkable historic residential neighborhood along Seventh Street from Franklin to Huff. You'll find interesting spots everywhere.