Used VPNetMon for Windows?
Developer’s Description
When your VPN connection is terminated every program at your computer is running unsecured with your normal IP address unless you are reconnected to your VPN service again. But sometimes the VPN service isn't able to reconnect and applications might run for hours without VPN security. VPNetMon monitors your VPN connection and simply closes the application of your choice when the VPN connection is down. If closing the application is not possible it will kill the application process the hard way.
Explore More

Mullvad
Paid
GiliSoft EXE Lock
Trial version
Webroot SecureAnywhere Internet Security Plus
Trial version
Windows XP 64-bit RPC Interface Buffer Overrun Security Vulnerability Patch
FreeDeriveIt's Web Content Filter
Trial versionBitdefender Home Scanner
Free
Keenow Unblocker
Free
Webroot SecureAnywhere Internet Security Complete
Trial versionWinJail
Trial versionPerimeter 81
Paid
GiliSoft USB Lock
Trial version
KidSafeCam
Free