Feedback winding in a flyback transformer

You need voltage feedback from somewhere, and a feedback winding is just one very simple way of doing that.

what if I'll used same winding for my output and my feedback voltage? will it be fine? or it is better to use a separate winding?

If you can use the rectified dc from the output direct for feedback, that is the best method of all.

How about if I have multiple secondary output, for example, output voltages of 5V, 10V, and 15V, among these three, where should I connect my feedback circuit? or what consideration should I used in choosing which winding to use as circuit feedback?

Usually the winding with the heaviest load is used for feedback.

Either that, or the winding that is most voltage critical might be preferred.

what will be the effect if the feedback will be connected across the winding with lighter load? When you say critical voltage what does it specifically mean?

The voltage on the light load will stay constant, because that is where the voltage is sensed.

The regulation on the heavy load will not be very good. The changes there will be much worse, because its supplying most of the output power.

If you have some kind of load where the voltage is critical, it might stop working if the voltage changes too much.