This is from FEMA:

What to Do During a Tornado:
If you are under a tornado WARNING, seek shelter immediately!

If you are in:
A structure (e.g. residence, small building, school, nursing home, hospital, factory, shopping center, high-rise building)

Then:
Go to a pre-designated shelter area such as a safe room, basement, storm cellar, or the lowest building level. If there is no basement, go to the center of an interior room on the lowest level (closet, interior hallway) away from corners, windows, doors, and outside walls. Put as many walls as possible between you and the outside. Get under a sturdy table and use your arms to protect your head and neck. Do not open windows.

If you are in:
A vehicle, trailer, or mobile home

Then:
Get out immediately and go to the lowest floor of a sturdy, nearby building or a storm shelter. Mobile homes, even if tied down, offer little protection from tornadoes.

If you are:
Outside with no shelter

Then:
Lie flat in a nearby ditch or depression and cover your head with your hands. Be aware of the potential for flooding. Do not get under an overpass or bridge. You are safer in a low, flat location. Never try to outrun a tornado in urban or congested areas in a car or truck. Instead, leave the vehicle immediately for safe shelter. Watch out for flying debris. Flying debris from tornadoes causes most fatalities and injuries.