Short answer: it shouldn't. That's not a real CAPTCHA, it's an attack called ClickFix, and it's currently the fastest-growing way scammers get malware onto people's computers.
It shows up as a normal-looking "verify you are human" box on a website. Instead of clicking pictures of traffic lights like a real CAPTCHA, it tells you to press a few keys to prove you're not a robot: Windows+R to open a Run box, Ctrl+V to paste, then Enter.
Those three steps quietly run a hidden command, usually PowerShell, that downloads and installs malware. The page secretly copies that command to your clipboard the moment you click the fake CAPTCHA button, so when you paste, you're pasting something you never actually chose.
Because there's no file to download and no obviously malicious attachment for antivirus software to catch. You're the one pressing the keys and running the command yourself, which means it slips past most of the automatic protections that stop typical malware.
Microsoft's own security research says ClickFix is now behind more computer break-ins than regular phishing emails.
Sources: Malwarebytes, Adaptive Security
This is one trick out of dozens. The Scam-Proof Playbook covers phishing, deepfakes, WhatsApp scams, and more, in plain language, with real examples.