Finally I tried to work with different USB<->CAN interface from different manufacturer and it worked like a charm. My old interface was either broken or incompatible for reasons unknown. While working on this problem I learned couple of things about CAN bus and so now I share what I think was the right answer to my original question: How to troubleshoot CAN bus communication?
- read manual to your USB-CAN interface
- install driver of your interface device and make sure it is working (check device manager, depending on the type of your device you will see new COM port added or new USB controller )
- your device should be shipped with it's own test/analysis software (they might call it utility or similar), run it and check if it can connect to your device
- CAN communication uses three wires that are referred to as High, Low and Ground and is usually connected with DB-9 connectors where High is linked to pin n. 7, Low to pin n. 2 and Ground to pin n. 3 or 5 - make sure this is connected correctly on both your USB interface and CAN device you want to communicate with
- set properties of your connection, these are most of all: CAN type (2.0A or 2.0B) BAUD rate, Acceptance Code and Acceptance Mask
- if you've done all of this and still you can see no CAN messages arriving in your utility program, check with a different USB-CAN interface or find some other way to test if your device is actually emitting CAN messages and your USB interface is in fact able to receive them. (this was actually my case)