None of the solutions suggested by the Google search worked for me (including repairing and reinstalling Steam, just deleting some .blob files, etc), so having considered the installation of Kaspersky as the only possible influence factor, I checked Windows firewall configuration in the Control Panel, deleted Steam outta there and re-added it as a safe application.

This solved the problem. (It wasn’t too obvious: all other programs were working fine, Windows did not complain and Steam was a “trusted” program in built-in firewall settings).

To solve the problem, I decided to revert my system to a pre-Bootcamp state with Vista’s built in “System Restore” utility. At first I tried standard “Safe Mode” which didn’t work, but booting “Safe Mode with command-line” worked fine (to see those option hold F8 button on your keyboard while the computer is booting). To launch the “System Restore” utility, I typed rstrui.exe in the command-line. For some unknown reason it took several minutes to initialize, and launched in some sort of minimized state from which I retrieved it with a plain Alt+Tab.

After restoring, the system took a couple of reboots to sort things out, but everything worked fine afterwards.