As suggested above, you'll need to contact the form's issuer -- for example, a casino or racetrack where you've gambled -- to request a duplicate copy if they've already sent you one, or for an original if they haven't.
If this is unsuccessful, you can contact the IRS at 1-800-829-1040 and request that they send you a copy. The Form W-2G issuer sends a copy of your W-2G to the IRS to report your winnings. See IRS Tax Topic No. 154 Form W-2 and Form 1099-R (What to Do if Incorrect or Not Received) for more information.
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