cleaned up some valgrind errors and memory leaks in client mode

The following command

    valgrind --leak-check=full --track-origins=yes ./burp
    
is now almost clean - we still get a memory leak error in SSL_connect
(client.c:202), and there's still reachable memory (allocated by
OpenSSL) when burp exits.
Merge pull request #139 from ZungBang/valgrind

cleaned up some valgrind errors and memory leaks in client mode