Image taken from http://www.readnrock.com/?p=38. The basis of the illusion is ambiguity in which side is the left side of the woman's body and which is her right, and the ambiguity then persists throughout the image series. If you perceive the initial frame to be the woman facing you, then she will appear to turn anticlockwise. If she seems to be facing away from you, then she will seem to turn clockwise.
If at any point you can convince your brain to reverse what her orientation to you is, then the following images will go with the new direction. Different people use different focal points to achieve that switch.
The series demonstrates that there really is only one rotation in the animation, not some trick of different sets of images showing clockwise vs anticlockwise motion. Practice with just looking at the first still picture until you can perceive her either facing toward you or away from you.