I can't stop gambling, even when I win I won't leave and just want to bum out, what can I do?

Specialist. Get a specialty counselor that works exclusively with gambling addiciton. In the meantime: make yourself stay out of the casino and off of gamblng websites. Find something enjoyable and productive to engage your mind in to help keep you from thinking about the gambling.
Get help. Gambling is an addiction that is very similar to alcohol and drug addiction. Gamblers anonymous meetings are widely available and may be found in your area. Professional help through counseling and even medications may be helpful in stopping. Your family may benefit from getting family therapy for their own issues with your gambling, whether you know they have them or not.See an addiction expert.