I won a "gift" but I haven't it on my post box.

Wait up to 7 days, and also make sure you check junk mail folders.

Call FedEx

when did you won it? today? in last hour? in last 10 minutes? in last minute?

Whine more.

Keep checking your mail box, should arrive in about a week.

This isn't some automated service that instant sends you the gift, be patient..

Wait. If after six days you still haven't received it, add the gifter on Steam and politely remind him to send it to you.

He might have a life and be busy. Be patient, don't be rude.