In one previous thread long time ago I ended up using basic Windows Firewall to only allow internet access to VPN and block everything else. The problem with this approach was that Windows will detect attempts to restrict it and will disable or create new firewall rules to circumvent any user made restrictions. Solution to this I have found to be Windows Firewall Control by Binisoft/MalwareBytes which is like an advanced frontend to Windows Firewall.
Don't try this if you don't know what yo