When the progress callback is called during the TCP connection, an error
return would accidentally not abort the operation as intended but would
instead be counted as a failure to connect to that particular IP and
libcurl would just continue to try the next. I made singleipconnect()
and trynextip() return CURLcode properly.

Added bonus: it corrected the error code for bad --interface usages,
like tested in test 1084 and test 1085.

Reported by: Adam Light
Bug: http://curl.haxx.se/mail/lib-2010-08/0105.html