Trying to measure start current of a DC motor
A shunt is a low value resistor that drops a small voltage proportional to current. They are rated by maximum continuous current and the voltage drop at that current. Typical 'full scale' voltage ratings are 50mV, 75mV, or 100mV.  

Your multimeter's lowest voltage range is probably 200mV, so with a 100A 100mV shunt it would read Amps directly (100.0mV = 100.0A). In cases like yours the accuracy doesn't need to be very high, so you could use a 100A shunt and still get usable readings in the 0-15A range. Using a higher current shunt also has the advantage that it drops less voltage at lower currents, reducing voltage loss at the load and making the readings closer to what they would be without the shunt.

Most multimeters have a fairly slow response time with ~3 readings per seconds and averaging which might make it even more sluggish, so you won't see the true peak current. An oscilloscope would show you the true peak and the shape of the startup current. However the power supply can probably handle short current spikes anyway, so this may not be needed.  

DC motors generally draw about 3~5 times more current at startup than at their rated output, so if your winch draws a bit less than 15A normally it could draw up to ~75A at startup if the power supply lets it. If your peak measurement is a only little over 15A it may be indicating the power supply current limit rather than what the motor would draw on a higher current supply (eg. a car battery). However provided the power supply is designed to run for short periods in current limiting (and is able to start the motor without problems) it should be OK. If the normal running current under load is under 5A and startup current reading is &lt;15A then you should have nothing to worry about.