PROXYHEADER: send these headers in "normal" proxy requests too

Updated the docs to clarify and the code accordingly, with test 1528 to
verify:

When CURLHEADER_SEPARATE is set and libcurl is asked to send a request
to a proxy but it isn't CONNECT, then _both_ header lists
(CURLOPT_HTTPHEADER and CURLOPT_PROXYHEADER) will be used since the
single request is then made for both the proxy and the server.

tests/data/Makefile.am

@@ -129,7 +129,7 @@ test1500 test1501 test1502 test1503 test1504 test1505 test1506 test1507 \
 test1508 test1509 test1510 test1511 test1512 test1513 test1514 test1515 \
 test1516 \
 \
-test1525 test1526 test1527 \
+test1525 test1526 test1527 test1528 \
 \
 test1900 test1901 test1902 test1903 \
 \

tests/data/test1528

@@ -0,0 +1,60 @@
+<testcase>
+<info>
+<keywords>
+HTTP
+HTTP GET
+HTTP CONNECT
+HTTP proxy
+proxytunnel
+</keywords>
+</info>
+
+# Server-side
+<reply>
+<connect>
+HTTP/1.1 200 OK
+We-are: good
+
+</connect>
+<data>
+HTTP/1.1 200 OK swsclose
+Date: Thu, 09 Nov 2010 14:49:00 GMT
+Server: test-server/fake
+Last-Modified: Tue, 13 Jun 2000 12:10:00 GMT
+ETag: "21025-dc7-39462498"
+Content-Length: 5
+
+stop
+</data>
+
+</reply>
+# Client-side
+<client>
+<server>
+http
+http-proxy
+</server>
+<tool>
+lib1528
+</tool>
+ <name>
+Separately specified proxy/server headers sent in a proxy GET
+ </name>
+ <command>
+ http://the.old.moo:%HTTPPORT/1528 %HOSTIP:%PROXYPORT
+</command>
+</client>
+
+# Verify data after the test has been "shot"
+<verify>
+<proxy>
+GET http://the.old.moo:%HTTPPORT/1528 HTTP/1.1
+Host: the.old.moo:%HTTPPORT
+Accept: */*
+Proxy-Connection: Keep-Alive
+User-Agent: Http Agent
+Proxy-User-Agent: Http Agent2
+
+</proxy>
+</verify>
+</testcase>