Winstrol is a DHT derivative; it would be pointless to combine it with Finasteride. Combining the two wouldn't cause any harm, but the Finasteride wouldn't provide any benefit with Winstrol.
Edited to elaborate: Finasteride is useful when the parent drug is something other than DHT or a derivative, because it works by limiting reduction via the Type II reductase enzyme. Much the same fashion Arimidex works on preventing estrogen reduction - and anything that is already 'converted' is past the drugs ability to provide any benefit. And since Deca has been brought up - Although it's true Deca isn't a derivative of DHT, there does appear to be some suggestive evidence of Deca/Finasteride causing more harm than if Deca was used alone, I'd like to point out it's still anecdotal at best.
By the way, a better DHT inhibitor is Dutasteride (brand name Avodart) as it works on both Type I and Type II reductase enzymes. Mg for mg, Dutasteride is roughly 30% more effective than Finasteride.