A VPN takes over the entire OS' connection. It is program-independent. As such, a VPN will work.
Tor is more doubtful, because I don't think Steam supports a SOCKS proxy out of the box. There are programs out there that force a certain program to go through a SOCKS proxy though (which I couldn't find on a quick Google. I'll have a look around).
I know of only one way that this can happen in windows, and has nothing to do with Steam other than their not-so-great decision to install all content into Program Files.
If you are on Windows 7 or Windows Vista, and you have UAC set to ON, then change it later to OFF, this can happen.
UAC does thing evil thing where if a program tries to write to a "protected" area like Program Files, EVEN IF YOU ARE ADMINISTRATOR, when you get a UAC prompt and give permission, it actually writes any files that would normally go into that directory into a "virtualized" directory somewhere else.
If you turn off UAC, that will no longer happen, and as an awesome bonus, it will no longer know about the files that it virtualized.
So in your case, if you had UAC on, installed a ton of games, then later got sick of UAC and turned it off, this would happen as you described.
See the second paragraph in "Features" in the article on User Account Control.
If you have done this and turn on UAC again, your content will come back, but be a TOTAL mess because if you've downloaded more stuff with UAC off, then that will be invisible when you turn UAC on, and vice versa.
this drove me a little crazy once before I realized what was happening.
i'm curious to know if this is your issue.
Best Answer
I can confirm that creating/editing steam.cfg (in the same directory as the Steam executable) with the following lines works, as long as you've set Steam to remember your password (thanks DarkAnime):
If you want to manage this with a command-line parameter, you could create a script to do something like the following (Windows .bat file):
It used to be that you could hit "Cancel" while Steam was starting up and it would allow you to start offline mode from there, but that no longer works.