Losing a player is an unfortunate occurrence, but don't let that
discourage you. People leave games all the time, for a wide variety of
reasons. The wise GM will plan ahead and have an exit strategy in mind
as he prepares his game.
For example, let's assume the PCs all have some amazing ability that
sets them apart from the other normal folks in the game -- say, everyone
gained super powers from an unusual meteor shower. In the same way that
a GM will have to consider how to add new players to a game and connect
their amazing powers to the existing story, so will a GM have to consider
how one of the characters leaving the story can be accomplished. Having
potential answers in mind means you can make player transitions easily
and comfortably for all concerned.
"Okay, I've got one player leaving and a new one coming in... and
the common thread with the player characters is that they're all family
members. Well, I can have the leaving character stay at home to guard
the ancestral mansion... and if it's okay with the new player, I'll make
the new character the heretofore unknown illegitimate child of the father
of the PCs."
There's two rough categories that departing players fall into: those
that may come back later, and those that are leaving permanently. You
should work with both types of players, to be sure they're comfortable
with the final disposition of their character.
If the player may return, find out if they're interested in having
their character "moved off the board" while they're not playing, so they
can rejoin the game later if they are able. If you intend to have the PC
continue in the game as an NPC, make sure you have explicit permission
from the departing player... otherwise it's too easy to change someone's
cherished character concept, and unwittingly offend the player.
If the player is leaving permanently, you should still negotiate what
the disposition of their character will be. Are they comfortable with you
playing the character as an NPC? Do they simply wish to leave the story
permanently; perhaps even have the character killed? Many players are
quite protective of their characters, and will object strongly to having
them killed, or run by another person. Doing so against their will is not
likely to help your game much. It will often make your remaining players
uncomfortable, and will definitely make the leaving player unhappy, which
will affect how they deal with you as a person from there on out.
Be flexible. Work out a way the character can leave the game which
both satisfies the player and allows the game to continue. A little
forethought and discussion will allow you to craft an ending for the
character that is satisfactory for everyone.
Once you've determined how the PC will be handled, you still have
to account for any changes in how your game will run. If the departing
PC fills an important role in the group, you can have an NPC fill that
role, or you could try to find a new player who'd like to take over
that particular role within the game.
Keep your game running consistently as best you can -- your other
players will appreciate your doing so. Don't take player departures
personally. Stay friends with former players... you never know when
you'll both meet in a game again. People change... so do games.