Thanks a lot to all who answered, espeisially to Otfried.
I installed pscyr following the instruction on http://samolisov.blogspot.com/2009/05/miktex-27-pscyr.html (in russian),
and now all works fine.
The correct preambule now is
\usepackage[utf8]{inputenc}
\usepackage[english,russian]{babel}
\usepackage{pscyr}