examples: improve global init, error checks and returning errors

- add `curl_global_init()` and `curl_global_cleanup()` where missing.
- check the result of `curl_global_init()` where missing.
- return the last curl error from `main()`.
- drop Win32-specific socket initialization in favor of `curl_global_init()`.
- rename some outliers to `res` for curl result code.
- fix cleanup in some error cases.

Inspired by Joshua's report on examples.

Closes #19053

docs/examples/url2file.c

@@ -38,8 +38,7 @@ static size_t write_data(void *ptr, size_t size, size_t nmemb, void *stream)
 
 int main(int argc, char *argv[])
 {
-  CURLcode res = CURLE_OK;
-
+  CURLcode res;
   CURL *curl_handle;
   static const char *pagefilename = "page.out";
   FILE *pagefile;
@@ -49,7 +48,11 @@ int main(int argc, char *argv[])
     return 1;
   }
 
-  curl_global_init(CURL_GLOBAL_ALL);
+  res = curl_global_init(CURL_GLOBAL_ALL);
+  if(res) {
+    fprintf(stderr, "Could not init curl\n");
+    return (int)res;
+  }
 
   /* init the curl session */
   curl_handle = curl_easy_init();