(url-http-proxy): New variable. (url-http-create-request): Use it. Don't use `url-proxy-object'. (url-http): Treat `url' argument as resource to download, and dynamic variable `url-using-proxy' as proxy to use. Set `url-current-object' to actual URL, and `url-http-proxy' to proxy used. (url-http-handle-cookies): Assume that `url-current-object' does not point to the proxy used. (url-http-async-sentinel): Adapt error message.