Overv/SteamWebAPI — comment on commit 4f2a9c7797c7136970a0c1b136d1ba6fa30195a3
File: SteamAPISession.cs line 229
By high6:

You need to Dispose the HttpWebResponse. msdn "You must call the Close method to close the stream and release the connection. Failure to do so may cause your application to run out of connections". So if you don't dispose it eventually you wont be able to make anymore requests.
Also You shouldn't really be returning the HttpWebResponse. Instead just return the data.