This is most likely because you turned off your machine with the VPN still connected or perhaps killed the VPN client with it connected. One of these fixes will restore your internet access.
From the start/search box on your taskbar
1) Type Network troubleshooter
2) Select Identify and repair network problems. Follow any suggested steps and see if that fixes the problem.
Reset your DNS adapters
1) From the Start/search box type ncpa.cpl
2) Select each adapter you use for the internet connection and right-click, select Properties. (UAC might ask for credentials.)
3) Highlight TCP-IPv4 and Click Properties
4) In the DNS area make sure you have it set to automatically detect DNS adapter. Repeat for the rest of your internet adapters.
Reset your Windows Firewall
1) Go to Start/Search and Type CMD, Right click on the Command Prompt icon and choose Run As administrator
2) When the window opens up type netshadvfirewall reset
3) Press Enter