Winry has been Ed and Al's neighbour since she was born, and is an irreplaceable and vital part of their lives. Winry, a brilliant mechanic genius, is the only one Edward trusts to take care of and repair his automail. However, just like Alphonse, Winry doesn't stand inside Ed's shadow. She has her own life, her own dreams, and despite being entwined with the brothers', she's got a growth of her own, and is not depending on anyone.

Winry gets to meet Roy when he arrives to Resembool soon after the Elrics' failed human transmutation. However, it's really Hawkeye whom she gets to talk to and it's through her from where she gets her first conception of Roy. Somehow, Winry and Hawkeye stablish a connection in those few moments they meet, some kind of empathic feeling that tells them their situations are somewhat similar.

Winry was afraid Roy had come to steal Ed and Al away from her, just how his parents joined the Ishval War as doctors and died there. Hawkeye assures her that no one is trying to "steal" them, it's their own choice and Roy isn't pushing anyone. In fact, what Roy is giving them at that moment, is some hope to keep going.

     

Judging from Winry's reaction the next time she sees Roy (4 years after), it looks like the girl had accepted the man as someone who helps Ed and Al, and doesn't blame him for taking her friends (her family) away from home. Somehow, Winry is similar to Alphonse, in the sense they both try to take in consideration other people's feelings and are very in touch with their own. She's maybe even more mature than Al in that respect.

Roy, in exchange, treats her kindly and politely, understanding just how much the girl means for both brothers.

Roy: Ah, who's this cute lady here? I'm Roy Mustang, rank colonel. What? We've met before? Ah, you're that cute little girl from that time. You've grown up to be a bit prettier than expected. I guess all the men who passed you up must be sick. You can always find me to chat it you're troubled by anything.

Leaving aside that this is perhaps one of the funniest more endearing exchanges in the manga, I'm sure Roy is actually meaning what he says, even if a bit adorned. There's no doubt Roy would go to any extent in order to protect Winry too, if only because she's essential for the brothers' happiness.