If you want to have a significant chance to win it all for a long time you typically need to build "the core" - a group of especially talented players who make most of the difference. The more talented core you have, the better. Ideally, you have either 2 legit superstars or 1 absolute gamebreaking player + 2-4 stars. Lock these players on long-term contracts if you can.
It is important for these core players to have chemistry: their playing styles should be compatible enough & their personalities should correctly shape team attitude in locker room. Core players themselves should be very competitive and care for winning & not only individual stats/awards/collecting paychecks. They better have a playing style that translates well enough to the postseason, and ideally 1-2 of them should be a "clutch artists". If your core just don't have enough talent/too small/consistently can't perform in the playoffs as expected, your Cup perspectives are likely in trouble.
And that's only the first part of basics of building the winning team.