The 52-year-old wrote, produced, cast and directed the movie and found it to be incredibly difficult, though she learned a lot from the experience.
"I researched and co-wrote the screenplay and I cast the film and then I produced it because I couldn’t find a suitable producer in time before shooting, and then I had to direct it within 52 days," contactmusic.com quoted Madonna as saying.
"It was not fun at all. It was all-encompassing and gut-wrenchingly hard and very educational," she added.
"W.E." won the best original song – motion picture at the Golden Globes ceremony here Sunday for the number "Masterpiece".