Point-to-site VPN, getting error "The message received was unexpected or badly formatted. (Error 0x80090326)"

I created point-to-site VPN according to this article https://azure.microsoft.com/en-us/documentation/articles/vpn-gateway-howto-point-to-site-rm-ps/. The client package created a VPN connection in my system. When I try to use it, I get this:

The message received was unexpected or badly formatted.
 (Error 0x80090326)

What is it? How to fix it?

Thank you.

Alex