Here's the story found on Wikipedia:
The traditional story is that, long ago, there was a time of famine. The chief of the Lakota sent out two scouts to hunt for food. While the young men travelled they saw a figure in the distance and as they approached, they saw that it was a beautiful young Indian woman in white buck skin. She had dark hair, skin and eyes. One of the men was filled with lust for the woman. He approached her, telling his companion he would attempt to claim her as a wife. His companion warned him that she appeared to be a sacred woman, and to do anything sacrilegious would be dangerous and disrespectful. The man ignored the other's advice.
The second man watched as the first approached and embraced the woman, during which time a white cloud enveloped the pair. When the cloud disappeared, only the mysterious woman and a pile of bones remained. The bones were the remains of the man. The remaining man was frightened, and began to draw his bow, but the holy woman beckoned him forward, telling him that no harm would come to him as she could see into his heart and he did not have the motives the first man had. As the woman spoke Lakota, the young man decided she was one of his people, and came forward.
At this time, the woman explained that she was wakan (holy). She further explained that if he did as she instructed, his people would rise again. The scout promised to do what she instructed, and was told to return to his encampment, call the Council and prepare a feast for her arrival. She taught the Lakota seven sacred ceremonies and gave them the chanunpa, the sacred ceremonial pipe. After teaching the people and giving them her gifts, Pte Ska Win left them, promising that one day she would return.