Add CURL support

Some shared hosting does not allow socket connection. With native curl library support, people (like me in my shared hosting) may have choices to use curl as its connection library.

P.S.: How to build the documentation? I am sorry, i don't know how to build the doc. Once i know how to build it, i will also update the doc.
Since you will be checking for valid approach when connection type is set, no need to throw exception here.