They steal the privet key of myetherwallet i dont know how they do that but i think by sending you an email and when you check the email and click on it they can access to all the file in your pc and steal the key i dont know how that works i'm not an expert so don't put any of the private key in the computer or in your phones .
For safety of all people who love to join airdrops and you are unstoppable. Just don't send your private key to anyone. It's only for you to keep your funds safe and don't be so gullible that they will send your free tokens in exchange of your private keys that has balance. Once they gain access to your private keys, they can easily open your wallet.