I'm not sure if the PM sent, so incase it didn't:
Lol when you download it, It should appear down at the right hand side of your computer beside the time and your internet connection.
Right click it and click 'Disconnect/Off'
Or, If it isn't displayed on your screen then go to:
Start > Search 'Hotspot Shield Launch' > Click That
It should take you to a page online that will display a big red 'Disconnect' Button, Click that