We were downloading the jar from within an block which only runs for
MSVC. Move the download to the start of the test so it gets downloaded
for both.

Running clar directly on appveyor makes it think the command returned
failure, so it stops the tests. Running it via ctest lets it go through.

We leave this up to the scheme in the url field. The type should only
tell us about whether we want a proxy and whether we want to auto-detect
it.

It takes a bit for the propxy to get ready to accept connections, so
start it before the build so we can be reasonably sure that it's going
to be ready in time.

I don't quite recall what we do in the other places where we use this,
but we should pass this payload to the callbacks.

The path is not something that you use for proxies, so make use of the
new optionality of the path when extracting URL parts.