If you happen to live in the USA:
To add to what's already been stated about it being a scam, the amount of the prize is suspect.
With it being $9500, it's (just) under the $10,000 limit where the bank has to file a report about the transfer. Why wouldn't a prize be a round number like $10,000, or even $9,000? There may be valid reasons, but it sends up a yellow flag for me. Not a red flag, but it's a bit sketchy.
I can't find the actual statute, but the FBI website mentions it in a report about a federal case against a former bank manager in 2009.
Federal law requires banks and other financial institutions to report large currency transactions to the United States Treasury Department’s Financial Crimes Enforcement Network. This reporting is done on a Currency Transaction Report which is required for all cash transactions over $10,000. Federal law also prohibits individuals from causing a financial institution to fail to file such a report. The law specifically prohibits any individual from structuring a currency transaction in any manner designed to avoid the filing of the report.
This seems to be confirmed by another article, which is much more recent.
Depositing a big amount of cash that is $10,000 or more means your bank or credit union will report it to the federal government. The $10,000 threshold was created as part of the Bank Secrecy Act, passed by Congress in 1970, and adjusted with the Patriot Act in 2002.
Reporting Cash Payments of Over $10,000
The general rule is that you must file Form 8300, Report of Cash Payments Over $10,000 Received in a Trade or Business, if your business receives more than $10,000 in cash from one buyer as a result of a single transaction or two or more related transactions.
With the limited time I took to research, I couldn't find what the US News article was talking about in regards to the "adjustment" with the Patriot Act in 2002.
As stated in comments, you'll want to change as much of the info you gave them as possible as they may be trying to set you up for other scams, identity theft, or who knows what.
Have your bank start up a new account for you, change all your passwords, change all your security questions, and maybe even change your email and phone number. The email and phone might be a little much, so feel free to wait that out. If they don't start harassing/spamming you or sending out messages to others pretending to be you, then you're fine. Otherwise, swap them out, too.
And definitely find a way to restore any money you've spent. Your other question leads me to think that you've spent some of it. If you don't replace it, you could get overdraft and possibly other fees when the scammers reverse the transaction, unless your account doesn't actually go negative.
You can also file a report with the FBI about the scam. You might not get anything out of it, but you might be able to help stop this scammer from hurting someone else.
And most important of all, don't beat yourself up too hard. Scammers are getting real sophisticated. It's almost hard not to spot some of them. Yes, there are many that only feed off the least intelligent people that fall for the most obvious scams, like pyramid schemes or the Nigerian Prince email, but there's plenty that are still trying to be at the top of their craft, whatever that means for them.
Yes, right now sucks, so try hard not to get into this same situation again. Use this as a learning experience to not do it again and to help others avoid the same pains you're going through.
I wasn't thinking about it when I originally wrote this answer, but returning the money through "other means" could be through a transaction that could be considered cash. Money orders, travelers checks, and other transactions are considered cash (and are fairly standard scam transactions), so that could also trigger a IRS 8300 form being filled out. And the transaction can be less than $10k, if it's deemed "suspicious".
Cash - “Cash” generally means the coin and currency of the U.S. or of any other country. For purposes of this reporting requirement, “cash” also includes a cashier’s check,1 bank draft, traveler’s check, or money order having a face amount of $10,000 or less if the instrument is
- received in any transaction in which the recipient knows that such instrument is being used to avoid the reporting of the transaction, or
- received in a “designated reporting transaction,” which is defined as a retail sale of a consumer durable,2 a collectible,3 or a travel or entertainment activity.