Try another folder outside of the Program Files hierarchies. It sounds like a permission issue - file writes to Program Files [and (x86)] normally require admin privileges. Suggested locations include "C:\Program Data\uTorrent" or "My Documents" If you really need it saved in the uTorrent folder, you'll need to either "run as admin" uTorrent, or edit permissions on the uTorrent folder to allow Users Full Control.
Installer is broke, current build 3.3a 32-bit 27745, W7 64-bit. Downloading and running utorrent-alpha.exe does not show up in Program Files, Start Menu, Desktop, or Programs and Features (control panel). As well, it creates a Startup registry entry to the file's download location (ie Downloads or Temporary Internet Files). This creates a security warning every time you reboot, and it also means uTorrent may disappear upon clearing your cache.