To win: Cash cash money! 
But seriously: since shares do not count on your final total of your money (player with the most money wins) you always have to ask yourself if investing X amount of money on a Y share is a good idea. At the start this is usually obscure to see. Bid too low, you get a deal, but your company will only have a bit of money. Bid high, you spend loads, but your company has more money to spend.
Also, always pay attention on how much money everyone has at hand, those are their ammo for the auctions, and also indicates who is in the lead. And what shares everyone have. Ask yourself who you want to help and who you want to screw over or be a lazy partner to.