Always follow instructions given by local emergency management or your local news outlets. Instructions could include:
Evacuate - leave a building or area and immediately move to a safe shelter
Shelter in Place - stay indoors at your current location (home, work or school). If you are outside, seek shelter in a nearby building.
Respond to a Public Health Threat - could be a natural or man-made disaster that could make many people sick or even die. i.e., pandemic flu outbreaks or anthrax. Authorities my ask the general public to practice social distancing, or to get medications from a local Point of Dispensing (POD).
Links for Information on other Types of Emergencies