Cisco AnyConnect VPN Error: “Failed to initialize connection subsystem.”

If you are running Windows 7/8/10 and you are using Cisco AnyConnect to VPN into a network, you may get this error:

Failed to initialize connection subsystem

The reason why I was getting this error was because I was logged into my Windows 10 PC with two different accounts. By default, a locally logged-in user can establish a VPN connection only when no other local user is logged in. Once I logged off the 2nd account, I was able to VPN in with no problems.