Unfortunately the problem is pretty common and it could blow your rightful anonymity and privacy cover. We highly recommend you make sure you have it fixed.
First you need to check if you have this problem -- connect your VPN, then go to -- http://entropy.dns-oarc.net -- Click 'Test My DNS' -- ignore "Good" "Great" and everything except 'dns resolver' listed addresses). Then, look for any related to your IP address, your internet provider, or that are in your country rather than the country of the VPN server you are using. If anything like that is listed, you have a DNS leak. If you have the leak, it's easy to fix in Windows using a freeware program "NetSetMan" -- you can get it here http://www.netsetman.com/index.php?s=nsm. Download and install the program; then: (1) Select the first tab. Choose Profile>Get all current settings - IP/DNS addresses should then appear. Tick only 'IP' and 'DNS Server'. Select 'Use the following IP address' and 'Use the following DNS Server addresses' leaving the IP/DNS addresses untouched. (2) Then select the second tab. Tick only 'Use the following DNS Server addresses'. 'Preferred' and 'Alternate' -- and leave them blank. Now just connect to VPN as you normally would; after you connect, go to the second tab of NetSetMan and click "Activate" -- That fixes the problem by removing your ISP's DNS servers from your normal Network adapter -- with the result that these DNS servers are no longer passed to your VPN adapter and do not leak. Now you can check for leakage at http://entropy.dns-oarc.net
IMPORTANT When you disconnect from VPN you must go to the first tab of NetSetMan and click "Activate" to restore your original network settings.
(Courtesy : HA)