Fixed that --valgrind works again with mysql-test-run.sh
Extended error messages when loosing connection during mysql_real_connect()


client/mysqldump.c:
  Added some missing DBUG_RETURN
include/errmsg.h:
  Extended error messages when loosing connection during mysql_real_connect()
libmysql/errmsg.c:
  Extended error messages when loosing connection during mysql_real_connect()
mysql-test/mysql-test-run.pl:
  Don't remove .reject files at startup
mysql-test/mysql-test-run.sh:
  Fixed that --valgrind works again
  Don't give warnings for directores in var/tmp
sql-common/client.c:
  Extended error messages when loosing connection during mysql_real_connect()