winhttp: Properly free all allocated memory on error in WinHttpOpen

[Bruno Jesus]

Found while checking bug https://bugs.winehq.org/show_bug.cgi?id=36600
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diff --git a/dlls/winhttp/session.c b/dlls/winhttp/session.c
index 56e776d..81fda27 100644
--- a/dlls/winhttp/session.c
+++ b/dlls/winhttp/session.c
@@ -241,13 +241,8 @@ HINTERNET WINAPI WinHttpOpen( LPCWSTR agent, DWORD access, LPCWSTR proxy, LPCWST
 
         WinHttpGetDefaultProxyConfiguration( &info );
         session->access = info.dwAccessType;
-        if (info.lpszProxy && !(session->proxy_server = strdupW( info.lpszProxy )))
-        {
-            GlobalFree( info.lpszProxy );
-            GlobalFree( info.lpszProxyBypass );
-            goto end;
-        }
-        if (info.lpszProxyBypass && !(session->proxy_bypass = strdupW( info.lpszProxyBypass )))
+        if ((info.lpszProxy && !(session->proxy_server = strdupW( info.lpszProxy ))) ||
+           (info.lpszProxyBypass && !(session->proxy_bypass = strdupW( info.lpszProxyBypass ))))
         {
             GlobalFree( info.lpszProxy );
             GlobalFree( info.lpszProxyBypass );
@@ -264,10 +259,13 @@ HINTERNET WINAPI WinHttpOpen( LPCWSTR agent, DWORD access, LPCWSTR proxy, LPCWST
     if (!(handle = alloc_handle( &session->hdr ))) goto end;
     session->hdr.handle = handle;
 
-end:
     release_object( &session->hdr );
     TRACE("returning %p\n", handle);
     return handle;
+end:
+    session_destroy( &session->hdr );
+    TRACE("returning (null)\n");
+    return NULL;
 }
 
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