Hi there and welcome to MYCE.
Firstly if you are a torrent user, I would highly recommend that you install Peerblock. It is an invaluable (and free) aid to your privacy.
As to your problem; it is likely that a hardware or software firewall is blocking the connection request:
if you have a router with a built in firewall, you'll need to add a rule to its settings to allow connections on the port that utorrent uses (the port number can be found via Options->Preferences->Connection in utorrent)
if you are using windows firewall make sure that you have checked the box "Add exception to windows firewall"
if you are using a third party firewall such as Comodo or Zone Alarm check the logs to make sure that it hasn't blocked the connection and add firewall rules as necessary
If you need help making any of the above changes then google will provide a host of guides for any given router or software firewall.