curl: avoid local drive traversal when saving file (Windows)

curl does not sanitize colons in a remote file name that is used as the
local file name. This may lead to a vulnerability on systems where the
colon is a special path character. Currently Windows/DOS is the only OS
where this vulnerability applies.

CVE-2016-0754

Bug: http://curl.haxx.se/docs/adv_20160127B.html