Yes it's possible. We have compiled a step by step guide for this kind of setting. We have configured for PPTP, L2TP, SSTP VPN such that whenever it will disconnect all internet activity from your computer will completely stop:
Windows 7 : http://www.purevpn.com/win7-firewall.php
Windows Vista / XP : http://www.purevpn.com/purevpn-firewall.php
Note : Torrents programs are an exception to this - For torrents this method is only 99% effective leaving 1% chance of data leak.