http: be clear when failing to connect to a proxy
http: be clear when failing to connect to a proxy

Ubuntu and/or GNOME have some bug that likes
to set the "http_proxy" environment variable
and forgets to unset it.  This is annoying
to debug.  Be clear in the error message that
a proxy was in use.

R=rsc
CC=golang-dev
http://codereview.appspot.com/4409045

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