parse_proxy: bail out on zero-length proxy names!

The proxy parser function strips off trailing slashes off the proxy name
which could lead to a mistaken zero length proxy name which would be
treated as no proxy at all by subsequent functions!

This is now detected and an error is returned. Verified by the new test
1329.

Reported by: Chandrakant Bagul
Bug: http://curl.haxx.se/mail/lib-2012-02/0000.html