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
The reason it is happening is because you are not waiting for the "Cannot connect" message to pop up. I found that if you run the game and just load up your saved game, your keyboard stops responding. the only keys that work is your numbers. also you cannot move anywhere. BUT if you run the game, get to the menu and wait until the game gives you the cannot connect to the server message, then load your game, everything works 100%