They are stored in %AppData%\uTorrent. The .torrent files you load are stored there so µTorrent can keep track of your torrents.
Simply make a copy of the entire %AppData%\uTorrent folder.
Simply copy settings.dat (located in %AppData%\uTorrent ) to the same folder as utorrent.exe, and you're done.
Simply copy the entire contents of %AppData%\uTorrent into the same folder as utorrent.exe. Alternatively, create a blank file named settings.dat in the same folder as utorrent.exe, if you'd like to start out fresh (no settings/torrents).
Delete settings.dat and settings.dat.old from %AppData%\uTorrent with the client closed.