Ultraluminous X-ray sources (ULXs) are bright extragalactic sources with X-ray luminosities above 10^39 erg/s powered by accretion onto compact objects. According to the first studies performed with XMM-Newton ULXs seemed to be excellent candidates to host intermediate-mass black holes (10^2-4 solar masses). However, in the last years the interpretation of super-Eddington accretion onto stellar-mass black holes or neutron stars for most ULXs has gained a strong consensus. One critical missing piece to confirm the super-Eddington scenario was the direct detection of the massive, radiatively-driven winds expected as atomic emission/absorption lines in ULX spectra. The first evidence for winds was found as residuals in the soft X-ray spectra of ULXs. Most recently we have been able to resolve these residuals into rest-frame emission and blueshifted (~0.2c) absorption lines arising from highly ionized gas in the deep high-resolution XMM-Newton spectra of two ultraluminous X-ray sources. The compact object is therefore surrounded by powerful ultrafast winds as predicted by models of hyper-Eddington accretion. Here we discuss the relevance of these discoveries and the importance of further, deep, XMM-Newton observations of powerful winds in many other ultraluminous X-ray sources to estimate the energetics of the wind, the geometry of the system, and the masses of the central accretors.