If the connection to the VPN will break then everywhere will display your real ip-address. To avoid this and block any non-VPN connection you need to add a rule to the firewall. How to do it consider the example Comodo Firewall (link on official website).
Install Comodo and run. In main window Comodo click Tasks - Advanced Tasks - Open Advanced Settings - Security Settings - Firewall - Global Rules - click RMB - Add:
Action: Block
Protocol: IP
Direction: In or Our
Source Address: Type - "Network Çîíà", Çîíà - "* #1"(if you have few Zone (#1, #2, etc) - add the same rule for each Zone)
Destination address: Type - "IPv4 Single Address", tick the "Exclude.." - IP: "enter ip-address of your VPN-server" (you can find it in the file C:\Program Files\OpenVPN\ config\*****.ovpn, open this file in notepad, in the first line after the word "remote" - ip-address of your VPN-server).
Save and exit. Now, any connection is possible only through the VPN