Captain LeFwee was a pirate in Sly 3 who called himself "The Smartest Man on the Seven Seas".
Earlier in Sly 3: Honor Among Thieves, the Cooper Gang encounter Dimitri in Holland. Dimitri mentions that he wants to retrieve the map to his grandfather's diving gear, which was stolen by none other than Captain LeFwee. This of course, gave the Cooper Gang reason to go after LeFwee, and endure many various missions on the seven seas.
The Cooper Gang eventually do find the location of the diving gear. However, when Penelope tries to open the gear's container, she finds that there is a booby-trap, emitting dust in the air and causing Penelope to temporarily lose vision. Captain LeFwee would then kidnap Penelope later on, but was confronted by the Cooper Gang. Penelope would be freed and fight Lefwee herself, engaging in a sword fight on the high yard of a ship. Penelope defeated LeFwee, knocking him off the yard and into the ocean.