Oh wow, I really did not see it yesterday. I still had the directory protected which I forgot as I was working on the blog via the browser all the time. Sorry for that, now it works all fine.

Sorry, guys, I feel stupid. I wanted to use Windows Live Writer to post in my Serendipity blog and did the following:

1. installed WLW
2. installed XMLRPC plugin (it answers if called via browser **)
3. at start picked "Another weblog service"
4. entered "http://SITEURL/blog" to my Serendipity blog ...