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