We already did it just before processing the state change event, but
this was too late, as the object could have been already deleted by then
and this actually happened with the example from wxWebRequest
documentation.
Do it earlier now, as soon as the request becomes active, which normally
happens when Start() is called, and keep the reference until the event
is processed after the request reaches one of the final states
(completed, failed or cancelled).
Add a unit test checking that deleting the wxWebRequest object doesn't
prevent the request from running to the completion any more.
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