Protection is on, but my public IP address is not changed

the F-Secure Freedome window says "Protection ON" but when I go to any website to check my IP address such as http://whatismyipaddress.com/ it shows my IP address just as if the protection was off.

 

The weird thing is that if I select a different location in the app (for example, a country in Europe) while it says connecting I do not have any browser access, so it seems like it is doing something.  Then it connects, but when I check my IP address it is still the one given by Comcast locally.

 

How can I get the app to actually tunnel my traffic thru the VPN?

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