multi: progress function abort must close connection

When the progress function returns to cancel the request, we must mark
the connection to get closed and it must do to the DONE state.

do_init() must be called as early as possible so that state variables
for new connections are reset early. We could otherwise see that the old
values were still there when a connection was to be disconnected very
early and it would make it behave wrongly.

Bug: http://curl.haxx.se/mail/lib-2011-10/0006.html
Reported by: Vladimir Grishchenko