North Korea Threatens the U.S. and Suddenly Everyone is a Prepper

Specifically, Chicago, which has a page on its web-site devoted to tips on how to survive a nuclear attack. It even references having a "Go Bag." Anyway, it recommends:

IF YOU ARE NEAR THE BLAST:

• Turn away and close and cover your eyes to prevent damage to your sight
• Drop to the ground face down and place your hands under your body
• Remain flat until the heat and two shock waves have passed 

IF YOU ARE OUTSIDE WHEN THE BLAST OCCURS:

• Find something to cover your mouth and nose, such as a scarf, handkerchief, or other cloth
• Remove any dust from your clothes by brushing, shaking, and wiping in a ventilated area. However, cover your mouth and nose while you do this.
• Move to a shelter, basement, or other underground area, preferably located away from the direction that the wind is blowing.
• Remove clothing since it may be contaminated. If possible, take a shower, wash your hair, and change clothes before you enter the shelter. 

IF YOU ARE ALREADY IN A SHELTER OR BASEMENT:

• Cover your mouth and nose with a facemask or other material (such as a scarf or handkerchief) until you know that the fallout cloud has passed.
• Shut off ventilation systems and seal doors or windows. After the fallout cloud has passed, unseal the doors and windows to allow some air circulation.
• Stay inside until authorities say it is safe to come out
• Listen to the local radio or television for information and advice. Authorities may direct you to stay in your shelter or evacuate to a safer place.
• If you must go out, cover your mouth and nose with a damp towel
• Use stored food and drinking water. Do not eat local fresh food or drink water from open water supplies.
• Clean and cover any open wounds on your body

IF YOU ARE ADVISED TO EVACUATE:

• Watch TV, listen to the radio or check the Internet for official news and instructions about when to evacuate, what routes to use, temporary shelters and procedures to follow.
• Before you leave, close and lock windows and doors and turn off air conditioning, vents, fans, and furnace. Close fireplace dampers
• Take your Go Bag with you.

Or, if you are a person that learns better from watching a video presentation/someone showing what to do, I would recommend the old classic, "Duck and Cover":