When you're in a Hotel, using an unencrypted Wireless, this is pretty insecure. There are several VPN solutions to encrypt your traffic such as Comodo WIFI Security or OpenVPN. However, one problem remains: As soon as you're connected to the network, several programs start sending data - mostly signing in. This might happen before you connected your VPN Tunnel.
There is a simple solutino using Windows 7 Firewall. Configure your WIFI or untrusted LAN connection as "Public". Set the default setting for public connections to "Whitelist" mode (block everything unknowen). Define a rule which allows to connect the VPN only. Define your VPN adapter as trusted. Additionally, you need to create a rule to allow any traffic from your VPN IP Address. That's it! No surfing will be possible unless you're connected to your VPN tunnel.