I don't understand why didn't I win

In your position it is an example of a stalemate. A stalemate is when your opponent has no legal moves and their king is not in check. In such position the game would be a draw by the rules of chess.

Why does stalemate exist?

Stalemate exist because of two reasons. (1) It allows the weaker side in a K+P vs K position to draw. For example, in the following position: White: Ke5, Pe6 Black: Ke8, white cannot force black's king to move away from the pawn, so it is a draw. However, if stalemate didn't exist, white can play 1. Kd6 Kd8 2. e7+ Ke8 3. Ke6 and get a win. (2) It forces the stronger side to stay alert to at all times even when they are completely winning to score the full point, and finally (3) it gives the weaker side chances to draw in otherwise completely losing positions. For example, in the following position: White: Ke1, Rd2 Black: Ke8, Qf3, if stalemate didn't exist this white would be checkmated in 2 moves, but with the help of stalemate, white can play 1. Rd3+! Kxd3 and get a draw, because the white has no legal moves and their king isn't in check.

How do you prevent stalemates when you are completely winning?

The simplest way is to check your opponent every move and if you have a massive material advantage like 2 queens up, you should eventually get a checkmate. However, if your advantage is not very massive, play moves that helps you get to a checkmate but always make sure that your opponent's king has at least one square to move to after your move. The king can only move to squares next to it, so if one of the 8 squares next to your opponent's king isn't attacked by any of your pieces, then it isn't a stalemate.