In Bilbao, Spain, James Bond meets with a Swiss banker to retrieve money belonging to Sir Robert King, a British oil tycoon and friend of M. Giulietta enters the office carrying a box of cigars, which she offers to Bond and her employer (hence her nickname "Cigar Girl"). At Lachaise's request, the cigar girl hands Bond a receipt for the money, leading to a double entendre regarding her figures.
Bond informs the banker that King was buying a report stolen from an MI6 agent who was killed for it. 007 wants to know who killed him. The banker threatens Bond, but Bond overpowers his bodyguards and holds him at gunpoint. Before Lachaise can reveal the assassin's name he is murdered by Giulietta - a throwing knife protruding from the back of his neck. In the ensuing chaos, both Bond and the cigar girl escape from the building.
Returning to MI6 headquarters in London, Bond returns the money to Sir Robert. However, the money is actually a fertilizer bomb which kills King and blows a hole in the wall of the building. Through the debris, 007 spots Giulietta, who is watching the building from a boat on the river. She fires off some shots and then speeds off down the Thames, with Bond pursuing in a prototype boat.
After being chased to the Millennium Dome, the assassin attempts to escape via hot air balloon. Clinging to one of the balloon's mooring ropes, Bond offers her protection from her real employer. Panic stricken, she refuses, asserting that Bond cannot protect her from "him". Ignoring Bond's pleas, she commits suicide by shooting the aircraft's gas tank, causing the balloon to explode in a huge fireball.
In the novel adaptation of The World Is Not Enough, then-current Bond novelist Raymond Benson gave the Cigar Girl a name: Giulietta da Vinci, and retained a scene between her and Renard in Bilbao that was cut from the theatrical release.