Seek Shelter Immediately

Seek shelter immediately. Aside from the geopolitical warning signs, your first warnings of an imminent nuclear attack will most likely be an alarm or warning signal; if not, it will be the blast itself. The bright light from a detonation of a nuclear weapon can be seen tens of miles away from ground zero. If within the vicinity of the blast (or ground zero), your chances of survival are virtually nonexistent unless you are in a shelter that provides a very (VERY) good blast protection. If you are a few miles out, you will have about 10-15 seconds until the heat wave hits you, and maybe 20-30 seconds until the shockwave does. Under no circumstances should you look directly at the fireball. On a clear day, this can cause temporary blindness at very large distances.

If you can't find shelter, seek a depressed area nearby and lay face down, exposing as little skin as possible. If there is no shelter of this kind, dig as fast as possible. Even around 8 kilometers (5 miles) you will suffer third degree thermal-burns; still at 32 kilometers (20 miles) the heat can burn the skin off your body. The wind itself will peak at around 960 kilometers per hour (600mph) and will level anything or anybody caught in the open.
Failing the above options, get indoors, if, and only if, you can be sure that the building will not suffer significant blast and heat damage. This will, at least, provide some protection against radiation. Whether this will be a viable option depends on the construction of the building and how close you will be to the likely ground zero of a nuclear strike. Stay well away from any windows, preferably in a room without one; even if the building does not suffer substantial damage, a nuclear explosion will blow out windows at enormous distances.
If residing in Switzerland or Finland, check if your home has an atomic shelter. If not, determine where your village/town/district atomic shelter is and know how to get there. Remember: anywhere in Switzerland, you'll be able to find an atomic shelter. When the sirens sound in Switzerland, you are advised to inform those who may not be able to hear it (e.g. the deaf) and then listen to the National Radio Services (RSR, DRS and/or RTSI).
Don't be surrounded by anything flammable or combustible. Substances like nylon or any oil based material will ignite from the heat.
4Remember: it's not the initial blast that creates the high death toll; it's radiation exposure. There are two threats of radiation:

Initial (prompt) radiation. This is radiation released at the moment of detonation, and it is short-lived and travels short distances. With the large yields of modern nuclear weapons, it is thought that this will kill few who would not be killed by the blast or heat at the same distance.
Residual radiation. Known as radiation fallout. If the detonation was a surface blast or the fireball hits the earth, large amounts of fallout occurs. The dust and debris kicked into the atmosphere rains down, bringing with it dangerous amounts of radiation. The fallout may rain down as contaminated black soot known as "black rain," which is very fatal and may be of extreme temperature. Fallout will contaminate anything it touches.

Once you have survived the blast and the initial radiation (for now at least; radiation symptoms have an incubation period), you must find protection against the burning black soot.