The last time winter came or the long night?Have they ever said what happened the last time winter came and how/who stopped them the last time?
The last winter was before before Robb was born, I believe. Because all of the Stark children are called summer children.
But if you are talking about the long night, that happened thousands of years ago and all we know is that the Children of the Forest and the First Man helped push the White Walkers back far north, and then erected a magic ice wall to keep them there. They were led by Azor Ahai, and it was prophecied that he would return to again defeat the White Walkers. That's what everyone means when they talk about "the prince that was promised."
Melisandre believed the prince that was promised was Stannis. And now it's pretty much a debate between Jon and Dany.