There are some things that you can do to help protect yourself from fallout; it doesn't need a massive pile of lead bricks or anything. The first line of defense is staying indoors until the next rainstorm washes most of the dust away. You should also make sure that you have a paper dust mask and a full rain suit to wear in case you need to go outside before it is fully cleaned up.

Just keep the dust out of your mouth and lungs; that is the number one priority. Second is keeping it off of your skin.