Winterfell Honor Guard- it says u let opponent use it but if he wins using it u get card back? What does this mean?

I'm a bit confused on what you mean here. Essentially you put the card into play under your opponents control. If at any point they win a challenge with that card, you then get control of the card. So the card would go back over to your side of the table.

Yeah but what's the point of it? U just give a card to your opponent with a chance u can get it back?

Yeah pretty much. That way you don't have to pay the gold for it. Its much better in a multiplayer game than a one on one game.

One more question. Do attachments stay on a character whole game? Or just for one turn?

All cards in play, including attachments, remain in play until a game effect removes that card from play. Unless the rules or a specific card tells you to do something with the attachment, keep it attached to the same card.