Do you mean you've won a FX-GA? Which is actually a expansion card for a PC. There are two versions out there. One for the japanese PC-98 and one for DOS/V systems (a japanese version of MS-DOS, I think).
Which one do you own?
But apart from that, as far as I know, this card is a PC-FX console for your PC. Additionally you can also program some things. There are 2 demo CDs shipped together with it, which includes some sample code and programs. I own one, too. But as my version is for the PC-98, I haven't had the chance to try it.