Better error message when HTTP_PROXY is down.

[23Skidoo]

Quoting haskell/cabal#1962:

In order to avoid #1602 I upgraded HTTP to version 4000.2.17. But I noticed a new (minor) problem: If the proxy mentioned in http_proxy is down, I get

(sid)root@kirk:~# unset http_proxy
(sid)root@kirk:~#  cabal update
Downloading the latest package list from hackage.haskell.org
(sid)root@kirk:~# export http_proxy=http://localhost:3128/
(sid)root@kirk:~#  cabal update
Downloading the latest package list from hackage.haskell.org
cabal: does not exist
# now starting the proxy
(sid)root@kirk:~#  cabal update
Downloading the latest package list from hackage.haskell.org

Certainly the error message could be more helpful.