I had this issue, just registered to tell you guys how i solved it. Vista - First make a new folder called utorrent anywhere you like preferably your destination for the files them selves (i.e Videos, or Mydocuments or whatever) doesn't really matter where, in this folder, make 2 new folders 1 named 'Files', and the other named 'torrents', now right click the utorrent folder - properties - advanced and un-check everything in there. Next open up utorrent click options - preferences - Directories, then check 'Put new downloads in' and point it to the files folder in the utorrent folder, and do the same for the torrents only this time direct them to the torrents folder. Sorted! Xp - near enough the same
