Throughout, use global session handle rather than reinitializing for each

Throughout, use global session handle rather than reinitializing for each
connect.  Don't pass session as an argument to setup.c functions.
* setup.c (geturl): Only issue "Connecting to.." message when using http or
first time for ftp since subsequent connections will be fast.
(processdirlisting): Allocate space for "N" when user has specified "N"ever
option so that it can be subsequently freed.
(main): Abort if we can't get the list of mirrors.