Alarm bells should go off and red flags waved any time someone requests payment for anything via Western Union.  It's a well-known and well-loved tool of thieves and scammers.

Regarding the winning of prizes (cash or otherwise), if you are told that payment of any cash prize or the receipt of any prize merchandise won't be granted without some sort of "administrative fee" paid up front, then the person you are dealing with is a criminal.

Don't you be a (greedy) sucker.  I personally respond to all such phone calls with, "OK, buddy, just send me the check."  And last, never, ever reply or respond to any e-mail notice of the same ilk; it's just an updated "Nigerian Scam" that no longer requires a sheet of paper, an envelope, and a postage stamp.