"Steals" the HTTP connection associated with
msg from this.
This happens immediately, regardless of the current state of the connection, and
msg's callback will not be called. You can steal
the connection from a Message signal handler if you need to wait for part or all of
the response to be received first.
Calling this function may cause
msg to be freed if you are not holding any other reference to it.
the message whose connection is to be stolen