You can win a Duel between steps of a chain, ending the Duel and preventing the complete chain from resolving.

For example, if both players have less than 1000 Life Points, and both players chain "Ceasefire" with 2 Effect Monsters on the field, the player whose "Ceasefire" resolves first (the one that was activated second) wins the Duel, and the other "Ceasefire" never resolves.

Likewise, if your opponent activates "Ookazi" and you have 800 or less Life Points, and you chain "Backup Soldier" to retrieve enough Exodia pieces so you have all 5 in your hand, you win before "Ookazi" resolves.

You cannot win the Duel during resolution of a step. For example, if you activate "Graceful Charity", and have all 5 pieces of Exodia in your hand after drawing the three card's from "Graceful Charity", you cannot win until the current step is resolved by discarding 2 cards from your hand.