The nontrivial topological features in the energy band of non-Hermitian systems provide promising pathways to achieve robust physical behaviors in classical or quantum open systems. A key topological feature of non-Hermitian systems is the nontrivial winding of the energy band in the complex energy plane. We provide experimental demonstrations of such nontrivial winding by implementing non-Hermitian lattice Hamiltonians along a frequency synthetic dimension formed in a ring resonator undergoing simultaneous phase and amplitude modulations, and by directly characterizing the complex band structures. Moreover, we show that the topological winding can be controlled by changing the modulation waveform. Our results allow for the synthesis and characterization of topologically nontrivial phases in nonconservative systems.