Hi @EA_Atic, thank you for your answers, I really appreciate your work.
Feels like I'm gonna give up on trying to find the source of the problem... I'm kind of IT-specialist and the fact I can't do it is driving me crazy. I've created new Windows user and it doesn't have this issue. I was trying to reproduce the problem, and you know, I can't. I've moved everything that can be moved to the new user: all settings, user folders, even registry keys and the game still works perfectly. I assume there is something wrong with system file NTUSER.DAT on my main account, because it's the only thing I haven't moved obviously. My OS is about 6 years old, seems like all the Windows updates didn't go well.
So, the problem is in the corrupted Windows user files. The solution is to create new user, or surprise, surprise, reinstall Windows.