sql set variable using COUNT

You just need parentheses around your select:

SET @times = (SELECT COUNT(DidWin) FROM ...)

Or you can do it like this:

SELECT @times = COUNT(DidWin) FROM ...

You can select directly into the variable rather than using set:

DECLARE @times int

SELECT @times = COUNT(DidWin)
FROM thetable
WHERE DidWin = 1 AND Playername='Me'

If you need to set multiple variables you can do it from the same select (example a bit contrived):

DECLARE @wins int, @losses int

SELECT @wins = SUM(DidWin), @losses = SUM(DidLose)
FROM thetable
WHERE Playername='Me'

If you are partial to using set, you can use parentheses:

DECLARE @wins int, @losses int

SET (@wins, @losses) = (SELECT SUM(DidWin), SUM(DidLose)
FROM thetable
WHERE Playername='Me');

You want:

DECLARE @times int

SELECT @times =  COUNT(DidWin)
FROM thetable
WHERE DidWin = 1 AND Playername='Me'

You also don't need the 'as' clause.