The title might sound a little "off" to you, as if the story is about someone who wins a rocking horse (the "winner" of a "rocking horse"), which probably wouldn't be very interesting at all.
As we get deeper into the story, we realize that the situation is reversed. It is not Paul who wins the rocking horse, but rather the rocking horse that "wins" (or possesses) Paul.
Since the rocking horse symbolizes materialism, greed, and sexual danger (see our "Symbols, Imagery, Allegory" section), the title is an ironic commentary on the forces that lead Paul to his death.