Under MSW, don't set the state to State_Cancelled as soon as Cancel()
was called, as the request was still used from the other threads
afterwards, resulting in race conditions and crashes.
Fix this by just removing the SetState(State_Cancelled) call from the
main thread, as it was redundant anyhow. This also makes the behaviour
correspond to the documentation, which indicates that Cancel() works
asynchronously.
Also ensure, for all backends, that we actually cancel the request only
once, even if public Cancel() is called multiple times. This required
renaming the existing wxWebRequestImpl::Cancel() to DoCancel().
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