All VPNs (especially on Windows) leak a little. The leaks can be DNS leaks, which happen when DNS requests that are supposed to be routed through the VPN tunnel to the VPN’s own DNS servers go to the servers specified by your network adapters instead. Check all your network adapters and only use a DNS servers outside your country that do not log, like OpenNic: http://wiki.opennicproject.org/Tier2

Even if you do not use the default DNS servers provided by your ISP you are still at some risk because some ISPs use transparent DNS proxies to intercept ALL DNS lookup requests.

The other type of leak happens when data you intended to be sent through the VPN is leaked unencrypted to the internet when your VPN disconnects by accident. Some VPNs have DNS leak protection and kill switches built in, all the ones I have tried cause connectivity problems because they modify your system files.

There is another, better solution coming soon called Leak Block. Leak Block is a modified Peer Block that sits on top of your physical network adapter monitoring your traffic. All traffic to your VPN server IP’s is allowed; all other traffic to your default internet connection is blocked. This solution insures that none of your data packets intended for the VPN leak to your default connection and your OS is not modifed. All DNS leaks are blocked.

Leak Block is still in testing. I’ve been using an alpha copy I got from the developer and it seems to work well. When I get some time later in the week I’ll use a packet sniffer to verify their claims that it stops absolutely all leaks. If you are interested in trying it for yourself visit leakblock.org and use the email link to request an alpha copy.