Hotspot shield is scam spyware, and Apple should do something about it.
The company uses it to mine data for Anchor Free, their ad data company. This is why they make it incredibly difficult to get rid of, and outright lie on their website about to uninstall it.
To stop it running, go to your applications folder, and start the Activity Monitor.
Click on the Memory tab
Find Hotspot Shield in the list of running processes, and click on it.
Then click the X button above the list of processes.
This will stop it, so now you can move Hotspot Shield to the trash.
BUT!
This will not get rid of it, in spite of the fact that their website says it uninstalls it completely. I know this because I am still getting their banner ads in my browser, which tell me they won't go away until I give them money.
I've found advice online to start trawling for kext files, but I don't want to go messing with stuff at the kernel level without knowing exactly what I'm doing.
I'd appreciate in-depth help from someone at Apple, since this is clearly a common problem on the forums.