First, we need to know what Sportsman you have. Is it an XP machine? Or one of the value line machines? Limited Edition model?
Second, some Polaris machines (I've heard) are pre-wired for a winch. Mine (in my signature) was not. Either way, it's a pretty simple install.
Third, what winch do you plan on installing? Do you already have it? What about the winch mount? Most are sold separately from the winch.
We need more info to help you.