copy pasting from apple forums for additional luck:

I recently installed Hotspot Shield on both my macbook and my mac pro so that I could watch videos on Shortly after doing so my internet started to take a hit, I realized it was slower than usual and I couldn't load a lot of things or play video games because I would randomly disconnect. After realizing this I disconnected the proxy and uninstalled it.

To my surprise the proxy remained active even after the application was removed, I tried to run traceroutes to random servers and sites, and it would show me as having my router's i.p and then the proxy's i.p, located in california u.s. I quickly searched for information and help and came across this thread here on the forums. Apple - Support - Discussions - hotspot shield -- uninstall problem ...

I tried everything in that thread but nothing has removed it, the little icon on the top right is gone from my screen but the virtual private network is still active on my network settings somewhere, I read that you can delete it on a PC by going into properties and deleting the VPN files. However I can't find anything like that on mac's network preferences. I think I found a way to stop the proxy from being used on browsers, but it's saved on my computer for other things like video games, which I realize from doing traceroutes that start like this:

1 ( 3.584 ms 2.200 ms 5.945 ms - My Router
2 ( 9.500 ms 9.948 ms 11.626 ms - California I.P address

Any help would be appreciated to avoid having to reformat.