Added AddOption function to add options to be passed to cURL object

This is for adding a function to add options to the cURL object (AddOption).

In this particular instance, I'm needing to use CURLOPT_PROXY, and while there are certainly other ways to open a proxy connection (although I don't know of any that are as clean), there are many other cURL options that are useful in some circumstances so a means to set them would be good.

I also included curl_setopt in the function itself in case options need to be changed after connecting, so those won't simply be ignored.

Let me know if this looks reasonable!