Under Windows 7 (and Vista too, I think) WebDAV and VPN fail if you use a self-signed (and therefore, untrusted) server certificate. Too bad that error messages are cryptic, and talk about failure to establish connection, or something like it, but never complains about SSL cert. Hmm. If you try to access such server with IE then (unlike Firefox) there is no way to turn off warnings. Also, if you try to play media from such website, IE and Firefox will launch associated media player (WMP in my case), which will also fail to connect to net resource to play it. Long story, short, kids – use trusted certificate if you need to use SSL in Windows.
And the good news is that now there is a provider of free SSL certificates (really free, not a 30-day trial as some advertise), who is also included into default Windows Certificate storage as a Certified Root Authority. This is Free SSL service from Startcom. With their cert for my server, WebDAV and VPN began to work.
The only fly in the ointment – Windows 7 implementation of WebDAV is buggy and slow and compared to Ubuntu.