Oh, yeah I guess that would be the problem since I am downloading to an external disk. For anybody that needs/wants it, <munched by admin> is uTorrent 0.9.3.10.
With this new version 0.9.3.11 it is not letting me download any new torrents. I keep getting the message "Error: No such file or directory" with every new torrent I add. 0.9.3.10 was working fine last night.