How does a single-stranded RNA bind to a double-stranded DNA to form a "triplex structure"?
DNA-RNA triplex formation is well-documented. It was originally analysed in simple model polynucleotides where the DNA has a polypurine strand and the RNA has a polypyrimidine, e.g.

rCCCCCC
dGGGGGGGGGGGGGG   
dCCCCCCCCCCCCCC

rUUUUUU
dAAAAAAAAAAAAA
dTTTTTTTTTTTTT


but it is now known to occur in more complex sequences. One of the best studied examples is in the promoter of the human DHFR gene: 


  Gee, J. E. et al.(1992) Triplex formation prevents Sp1 binding to the dihydrofolate reductase promoter. J. Biol. Chem. 267, 11163–11167




In this work the oligonucleotide GR19 was shown to bind in a triple helix to SpI binding site I in the DHFR promoter (CR19 was used as a control). Triplex formation was detected by gel shift, and the specificity was confirmed by DNase I footprinting.

This effect is part  of the regulation of DHFR - the transcript from a minor upstream promoter binds to the major promoter, see:


  Martianov, I. et al. (2007) Repression of the human dihydrofolate reductase gene by a non-coding interfering transcript. Nature 445: 666-670


The structure of these triple helices involves a combination of Watson-Crick base pairing in the DNA duplex together with Hoogsteen base pairing in the RNA-DNA interaction:



Figure taken from:


  Morgan, A. R. &amp; Wells, R. D. (1968) Specificity of the three-stranded complex formation between double-stranded DNA and single-stranded RNA containing repeating nucleotide sequences. J. Mol. Biol. 37, 63–80