From codecheck: Despite the fact that a Ground Fault Circuit Interrupter (GFCI) may be installed in a 2 wire circuit, the GFCI does not create a safety ground. In fact, shorting between the Hot and Ground holes in the GFCI outlet will do absolutely nothing if the GFCI is not connected to a grounded circuit (at least for the typical GFCI made by Leviton sold at hardware stores and home centers). It will trip only if a fault occurs such that current flows to a true ground. If the original circuit did not have a safety ground, the third hole is not connected. What this means is that an appliance with a 3 prong plug can develop a short between Hot and the (supposedly) grounded case but the GFCI will not trip until someone touches the case and an earth ground (e.g., water pipe, ground from some other circuit, etc.) at the same time.
Note that even though this is acceptable by the NEC, I do not consider it desirable. Your safety now depends on the proper functioning of the GFCI which is considerable more complex and failure prone than a simple fuse or circuit breaker. Therefore, if at all possible, provide a proper Code compliant ground connection to all outlets feeding appliances with 3 wire plugs.