Eliminate duplicate code.

Allows constructing the request first and set the URL later.  This is
needed because curl_easy_escape() is needed to construct the URL,
which however needs the CURL "easy" handle created by the Request class.

Bugs found by Coverity.

Needed for WStringView.

This eliminates some overhead, because the compiler doesn't need to
consider these functions throwing.

libcurl's WRITEFUNCTION is pretty fragile; if we destroy the CURL*
instance or even unregister it using curl_multi_remove_handle(),
libcurl will crash instantly.  But still we need to be able to handle
exceptions from inside the WRITEFUNCTION, and call
CurlResponseHandler::OnError(), which may destroy the whole thing.  As
a workaround, I use DeferredMonitor to postpone the OnError() call
into a stack frame which is allowed to destroy the request.

Let the caller decide what to do with the exception.

When the request is done, only unregister the CURL* handle, but do not
delete it yet - it may still be needed for CURLINFO_RESPONSE_CODE.

Convert assertion to runtime check.  This is useful because this is a
public method, and the caller has no chance to check if the object is
still registered.

Fixes a crash that can occur due to recursion from InvalidateSockets()
to ReadInfo() to CurlRequest callbacks.

This allows constructing an instance in any thread, and register it
inside the IOThread later.

The CurlRequest gives us a more low-level API to CURL without the
InputStream interface, integrated into our IOThread.