The moral(s) of the story is(are);
1. Use an authenticator for WoW. Even if this potential problem is not stopped by an authenticator, this is a generally good idea. Even if a hacker has got your username and password using a key-logger, they cannot log in to your account without your authenticator.
2. Only download software that you know is safe and from a safe source (e.g. curse from only curse.com, etc. and make sure the address in the browser address box is what you think it should be).
3. Make sure that your antivirus and malware scanning software is up to date if you are running Windows.
Hubby (an IT support consultant on Windows and Mac) sent me a link to this. I use Curse but I am safe on a Mac and only download the Curse app from curse.com.
As a side example, my mum was infected with malware and key-loggers because my uncle downloaded Skype to her laptop from a non-skype site.
(cross posted to my FaceBorg and one of my WoW guilds' FaceBorgs - I cannot get in to the other guild's FaceBorg or forum)