This one solved the problem:
http://forums.steampowered.com/forums/showthread.php?p=32993802

Something which helped me was removing the automatic detection of proxys in windows.

Enter control panel, internet options, connections, LAN settings and uncheck "Automatic detect settings" or something similar.

other related info:
http://pcgamingwiki.com/wiki/Steam
http://pcgamingwiki.com/wiki/Steam#Error_following_updates

Tags: steam