Initialise some members of the Proxy_Socket structure that were left

Initialise some members of the Proxy_Socket structure that were left
uninitialised. This problem only showed up with mingw builds of PuTTY
(maybe MSVCRT is more forgiving with malloc initialisation than CRTDLL?).
The 'error' field was causing me most trouble, and I think the other two
were necessary too before things started working.
Note however that I don't fully understand the code, and that there are
more uninitialised fields in the structure.

[originally from svn r2029]