Sent a gift and winner marked not received

Report him and try adding him on Steam

http://www.steamgifts.com/support

I am the winner of the prize and did not receive any mail

check the spam folder

Send gift via Steam directly ba adding him to your friends

Did you actualy talk to him, or just read the "not received" notice? I had something similar once.. I sent a copy of a game via steam to the winners email-adress and after not responding, he checked it as "not received". I added him on steam to talk about what went wrong and somehow he just didnt get the email.. I gave him his game via steam-trade and everything was fine.. if you got a steam-key instead of a giftable copy, you could do the same and give him the key directly in the steam-chat.

Send again

Same thing happened to me. 4 days ago one of my giveaways ended but the guy never marked it as received. I added him on steam today and spoke. Turns out my email went to his spam folder because it had the words 'Congratulations' and 'win'. Safest thing to do is add him in steam and ask him about it. If he got it and still didn't mark it as received, take a screenshot of your sent mail and send a ticket to support.

Edit: Yes he doesn't have the game in his list so he probably didn't receive the email. Add him and ask him to check his spam folder.