If NSG_CLOSE_IMMEDIATELY is on, then the socket will be closed,
which means that (if the socket was added to either read_set or
write_set) the subsequent select will in turn be performed on a
socket that has been closed.
Standard socket implementations seem to ignore a descriptor
referring to a closed socket but LWIP
(http://savannah.nongnu.org/projects/lwip/) crashes. So better
not to add to the sets.
MONGOOSE_NO_CGI is implied by both NS_DISABLE_SOCKETPAIR and
MONGOOSE_NO_FILESYSTEM. Thus, so as not to get complaints about
the same define being defined twice, some extra checks are needed.
If you do not have a filesystem or do not support dav or
dynamic loading, the corresponding header files need not
be included (some environments might not have them).