Should I confess to the Sheikh that I lied and return the money to him, after I spent the value of the 'Umrah prize I won on buying computers instead of paying off my debt?

The questioner must repent to Allah for his lies, and beware of lying in the future, especially with people of virtue. As for the money, the questioner does not deserve it because he obtained it through deception. Therefore, he must either return it or inform the Shaykh of the truth of the matter.