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.
Copy settings.dat (located in %AppData%\uTorrent ) to the same folder as utorrent.exe, and you're done. If using 3.0 or newer, this also enables portable mode, which allows you to store everything on the drive itself.
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.
Close µTorrent and delete settings.dat and settings.dat.old from %AppData%\uTorrent. It is also possible to clear the settings in the uninstall process.