This articles talks about a scam that fools you into keying in the Captcha figures.

“In the
new scam, an icon of an alluring woman suddenly appears on a Windows
computer infected by a virus. After clicking on the icon, the user sees
a photo of an attractive woman who vows to take off an article of
clothing each time the jumble of figures next to her is entered.

the woman never fully undresses, and after several passwords are
entered the program restarts, possibly enticing unsuspecting users into
trying again.”

We agree that these can be used to help the scammers get past the Captcha, but they are usually quite harmless. It would not be useful against financial institutions, that issue temporary keys via SMS or security tokens. There is no way for the “alluring woman” on the screen to read your handphone or security tokens which are not attached to the computer.

btw, if you see a “dancing lady” on your desktop without any known installation, your computer is badly, badly compromised.