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If I was to believe it, we must agree the recent news would have prepared us for that kind of event actually happening. So, reading that message, I would know it's not some stupid joke.

What I would do then depends the type of missile I'm expecting to receive on the head.

• nuclear? Since we live in the capital of France (potential primary target, I imagine) I would wonder who is the moron that thought it would be useful to message me and then I would vaporize in poof of smoke. With any luck, I would have time enough to hug and say goodbye to my spouse.
• Conventional? I would do nothing beside opening all windows wide and, hugging and crouching with my spouse, somewhere not close to any window we would wait for the impact maybe we could use our mattress as a makeshift shield?

Wouldn't we try to escape somewhere safer? Nope. When the missile is on its way it's too late already. We should have left the city a long time ago and when it arrives...

• Radiations and/or bomb blast are way faster than I will ever be. Even in a car, if I owned one ;)
• I have no idea where the thing would hit, so trying to get to some safer place we may as well run directly into it.
• Living in (and trying to leave in a hurry) a highly populated area in an emergency of that kind means chaos, which also means all means of transportation and all roads would almost instantly get jammed by people running everywhere like headless chicken.

So, instead I'd rather stay at home, and wait to see if there is anything we might want to do after the blast. If there is an after the blast.