In Winona, at the band shell, there are free band concerts every Wednesday night, during the summer (at 7 pm, I think). The band shell is on Lake Winona, about 1 mile from downtown. Right next to the band shell are great playing fields for the kids as well as an awesome play ground. It has ramps, slides, swings and is wheelchair friendly.
Climbing up to Garvin Heights (pant, pant) is fun if your kids are hikders. The views from up there are magnificent.
The public library (downtown area) has story time, movies to rent for $1. and activities for kids.
On the Mississippi, near downtown, there is a river boat that offers tours (it's on dry land). Walking across the Mississippi bridge to Latch Island is fun. There's a nice swimming beach there.
The two lakes in Winona (big and small lake) have a wonderful bike trail that goes all around it. That's a fun thing to do with bikes, walking or roller blades. I think that it's 3-miles around both lakes. The Lakeview Drive in is just off that trail and has great root beer floats. All summer long the lake area offers baseball/softball games for kids and adults.
See, lots of free things to do in Winona!
Mari