To type the letters in the captcha, use a tool like:
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Each square is called a syllable/ic block. They are composed of 2-4 different Korean letters (or "Jamo").
"안녕하세요" (Hello) is composed of 5 syllable blocks - 2, 3, 2, 2, and 2 letters each.
ㅇ ㅏ ㄴ = 안 (an)
ㄴ ㅕ ㅇ = 녕 (nyeong)
ㅎ ㅏ = 하 (ha)
ㅅ ㅔ = 세 (se)
ㅇ ㅛ = 요 (yo)
= 안녕하세요 (annyeonghaseyo)
It is helpful to note the differences between consonants and vowels as well:
Consonants: ㅂ/ㅃ/ㅈ/ㅉ/ㄷ/ㄸ/ㄱ/ㄲ/ㅅ/ㅆ/ㅁ/ㄴ/ㅇ/ㄹ/ㅎ/ㅋ/ㅌ/ㅊ/ㅍ
Vowels: ㅜ/ㅠ/ㅗ/ㅛ//ㅔ/ㅖ/ㅕ/ㅓ/ㅏ/ㅑ
The vowels are all very similar in the sense that they use one to four horizontal or vertical lines. The consonant shapes are a lot more "blocky" and random.
(PS: If your system is not rendering the Korean characters correctly, follow these instructions. Start Menu -> Control Panel -> Clock, Language and Region -> Change the date, time or number format -> "Administrative" tab -> Change system locale -> "Korean (Korea)". Restart your computer when prompted.)