Telling Epazote Apart from Lamb's Quarters and Pigweed

How do you tell Epazote apart from Lamb's Quarters, Pigweed, when it is very young?

When seedlings first appear it is difficult to tell them apart because the first set of leaves does not take on characteristics typical of the plant. Usually the second or later sets of leaves begin to take on some of the distinctive features of the leaves of mature plants. In the case of epazote and lamb's quarters, they both belong to the same genus, Chenopodium, so they share many morphological features. However, in epazote small serrations along the edge of the leaves should develop fairly early. You can see the serations in the picture of the mature plant in our web catalogue:
www.richters.com/Web_store/web_store.cgi?product=X2350
Lamb's quarters, on the other hand, does not develop serrations, as can be seen here:
www.richters.com/Web_store/web_store.cgi?product=X3606
If there is still any doubt, you can always use the nose test! The leaves of epazote have a very strong, pungent odour whereas lamb's quarters has hardly any scent at all.
Pigweed is from a different plant family. It is a little easier to tell from epazote with its wider leaves and lack of scent. Here are some pictures:
www.weedscience.okstate.edu/Weeds/palmer_pigweed.JPG https://www.lsuagcenter.com/weedscience/images/Broadleaf%20Weeds/redroot%20pigweed.jpg

Also, can it become a weed or do the seeds winterkill?

I have not known epazote to be a weed in Canada or in the northern U.S. It is a wild plant in Mexico so it likely could be a weed in the warmer parts of the U.S.