multi: fix *getsock() with CONNECT

The code used some happy eyeballs logic even _after_ CONNECT has been
sent to a proxy, while the happy eyeball phase is already (should be)
over by then.

This is solved by splitting the multi state into two separate states
introducing the new SENDPROTOCONNECT state.

Bug: http://curl.haxx.se/mail/lib-2015-01/0170.html
Reported-by: Peter Laser

lib/http_proxy.c

@@ -72,6 +72,7 @@ CURLcode Curl_proxy_connect(struct connectdata *conn)
     conn->data->req.protop = prot_save;
     if(CURLE_OK != result)
       return result;
+    Curl_safefree(conn->allocptr.proxyuserpwd);
 #else
     return CURLE_NOT_BUILT_IN;
 #endif