Protect myself if VPN goes down

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I am trying to find out how I go about protecting myself if my VPN goes down. I have searched the forum but because this is all very new to me I am not sure if I have found my answer on how to do this or not.

I am using Vuse 4.8.12 on Mac OSX 10.6.8. When I was setting up Air VPN and Tunnelblick I had a screen pop up pertaining to what to do if the VPN went down. Since I had no idea at that time on how to respond to it I answered no.

Now that I want to go back and address that I cannot figure out where to do this and how to do so.

I am hoping that someone will be willing to point me to the right direction and give me clear instructions on how I go about setting it up. I would really appreciate it. As I said, this is all very new to me and is a bit overwhelming.

Thanks so much!