If you ever experience an error "AnyConnect was not able to establish a connection to the specified secure gateway. Please try connecting again." you can easily fix it by stopping the Windows service called "Internet Connection Sharing (ICS)".

Steps:

1. On your keyboard press Win Key + R to start Run dialog
2. Type services.msc into it and press Enter or button OK
3. In opened service window find Internet Connection Sharing (ICS) then right-click on it, select Stop and that is it.

NOTE
Do not worry, service will start on-demand, you will break nothing.