There are several important steps to good roleplaying. Read on for them. This text is modified from http://members.aol.com/essuncius/rpchap1.html.
-= Forget Winning =-
It doesn't exist in the roleplaying world, especially when you're a player. Unlike video or board games, there usually is no definitive end to a roleplaying game. There may be an end to a specific plot or line of `RP', but sometimes the end of one plot will be just the beginning of another.
If you absolutely must focus on "winning", here's a new perspective to do it with: You're winning if you're playing your character to the best of your ability, even if that means putting him in situations where he might be killed. You're winning if you are involved in the game and not talking to the other players about your day at work. And most importantly, you're not losing if your character dies. Sometimes, remember, death is only a temporary inconvenience for those with enough money and/or power to get it reversed. And even if death is more serious than that, a new character and a new adventure is just around the corner from the tunnel of light.
-= Take it Easy =-
There is a tendency in roleplaying for players to become very attached to their characters. And it's perfectly understandable; in some game systems it takes forever for a character to advance to the point when he is something special, in others it might take hours of sweat and blood just to create a starting character. While a good GM will strive to avoid killing off PCs arbitrarily, sometimes events turn so that a character will die. Sometimes that death will be deserved (GM: "That lever looks like it controls the gate that holds back the lava." Player: "I'll pull it and see what happens.") and sometimes it won't be (GM: "Sorry, Phil, but I just rolled a critical strike against your character, the blow goes to his heart, make a roll to avoid dying." Player: "Darn! Missed it!"), but whatever happens you need to keep in mind that it's only a game. That's what they're called, after all, Role-Playing Games. Whether you lose a character to death, capture (I've seen players who would rather their characters die than be taken captive), injury, disease or GM control, always remain positive and remember that (for death) you can always start again or (for capture or other) there might be a way out. This also means that you shouldn't get upset with the other players, either. Sometimes, if a player is very deeply in character, she'll do things she would never do as a person. I've seen players who were married play characters who hated the other with a passion, then, when the game took an intermission, be just as loving to each other as newlyweds. I've seen players who were just friends play romantically involved characters. And I've seen players who were so goody-two-shoes they would make Sandra Dee look like Satan play the most vile, evil creatures to ever walk the face of the earth. In one game in which I played (a time-travel campaign), my character was a Japanese ninja from the fourteenth century. The other characters were a World War II general, a 1920's inventor, a futuristic cyborg, an Amazon warrior-priestess and a modern-day individual who believed he was Elvis. Now, I must admit that I tend to get very deeply in character, and the ninja was one of those times. He believed very strongly in finishing the mission (whatever it might be) and getting the job done -- and let nothing get in the way of, or in any way endanger, the mission lest they suffer the consequences. And he would act on it no matter how slight the threat. When an NPC got between the group and their goal, the ninja slit his throat. And when a PC had his leg torn off, he became (at least in the ninja's eyes) a liability to the mission. The ninja shot him at point-blank range. Needless to say, the player got quite upset with me. Was I being mean? Did I do it just because I didn't like the player? No. I did it because that was what the character would do. Once I explained that, the player calmed down. He started a new character, and this time he decided to play it as in-depth as I played mine.