Reuben and the gang here have done a great job with their own VPN app, but I know they'll all tell you nothing is fool proof.
If you want as fool proof as possible, then you have to do some things on your own to ensure it...
The most common widely accepted method on any system is by making rules in your firewall to ensure if the connection goes down then you can't get online.
After this, for those that don't want to mess with rules, you can use an application like VPNCheck Pro for Windows users;
http://www.guavi.com/vpncheck_pro.phpOr as I mentioned Viscosity for Mac users as a client that allows a rule creation to help protect the VPN when down.
But in Windows on Comodo, or on Macs, creating a few firewall rules isn't really that difficult and the best method!
CHEERS