[C++] Build toolchain support for libcurl

[asfimport]

libcurl can be used in a number of different situations (e.g. TensorFlow uses it for GCS interactions https://github.com/tensorflow/tensorflow/blob/master/tensorflow/core/platform/cloud/gcs_file_system.cc) so this will likely be required once we begin to tackle that problem

Reporter: Wes McKinney / @wesm

_{Note: This issue was originally created as ARROW-5073. Please see the migration documentation for further details.}

[thisisnic]

This issue hasn't had activity in a long time. If it's still being worked on, please leave a comment. Otherwise, it will be closed on 23rd June.

Labelled Status: Stale-Warning for tracking.