How am I supposed to use ProXPN on an insecure network?
The reason your Proxy will not connect without an active connection is because inherently it encapsulates traffic, pipes it over an insecure connection in a secure fashion, and forwards that traffic to another host which actually makes the request. It is like saying you would like to send a secret letter without using the post service, unfortunately it is the base of how you are communicating.

If you join an insecure network and you dont actually perform any actions, there is no risk, that being said, on a mac you do have programs that may automatically request a connection (mail) and send out credentials or try to visit a URL. This is a fairly small risk, you can always keep them closed until you run your proxy software.

In terms of open ports or shared files and folders, if you are advertising these services and you connect to an insecure network, the thing to stop them is your firewall.