The non-trivial 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, unique to non-Hermitian systems, is the non-trivial winding of the energy band in the complex energy plane. Here we provide direct experimental demonstrations of such non-trivial 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 straightforwardly controlled by changing the modulation waveform. Our results open a pathway for the experimental synthesis and characterization of topologically non-trivial phases in non-conservative systems.