Congrat'! As far as I know you don't have to go back to Nepal. According to this US gov article- If You Are Selected: https://travel.state.gov/content/visas/en/immigrate/diversity-visa/if-you-are-selected.html selected DV winner should immediately fill out the DS-260. I did just that and put together a step-step guide on how to fill out the DS-260 video here https://youtu.be/4Mj-26ahMjk Hope this helps.