I’m a little embarrassed to say that I didn’t know this was a thing. The creativity of scammers is unbelievable.
There are CAPTCHA tests that are getting you to download malware when you think you are solving one of those annoying I AM NOT A ROBOT tests.
Take a look at one of the newer ones:

This may seem like a more advanced CAPTCHA test, but it is actually giving you instructions to download malware to your computer.
What to do if you come across this pop up:
- Close the tab immediately
- Do not go back to that website, it has been compromised
- If you think you might have downloaded something, immediately disconnect the WIFI/Internet, then from a secure device change all of your passwords.
There is a similar scam that asks for your phone number so they can text you a code. Currently there isn’t a CAPTCHA test that requires you to enter your phone number.