* When using a proxy, HTTPS connexion must still go directly to the
target website. The proxy can then act as a TCP stream relay and just
transmit the raw SSL stream between the client and website.
* For this, we ask the proxy sending an HTTP request with the CONNECT
method. If the proxy supports this, we can then send anything as the
payload and it will be forwarded.
* Untested, as the network here in Dusseldorf doesn't let me use a
proxy.
ticket : #10973
