I grew up in the midwest and have lived in "tornado alley" most of my life. I've lived through several tornados and hurricanes and have worked in hospitals where we practiced tornado drills on a regular basis. At home in Ohio we had a crawl space, but I have lived other places where there was no such place to go.
Go to an interior room such as a bathroom or closet. Get inside the bathtub if you can - a bathtub is anchored to the ground and may be the only thing left standing after a tornado hits. If you cannot go to the bathroom or a closet, go to an interior hallway - as removed from outside walls as possible. Cover your head with a blanket or quilt to protect yourself from flying debris. Stay away from windows.
If you're out on the road, pull over and find shelter - get into a ditch if there is nowhere else to go - but get out of your car since strong winds can lift and destroy your car.