Hi Chris,
Thank you very much for your reply. I had comodo on my old XP machine and it did the job. I thought now that I have Win 8.1, I didn't need Comodo anymore and could use the Windows firewall instead, but utorrent keeps adding exceptions on its own and I don't know how to stop it from doing that.
EDIT: It works now using the Windows Firewall. When adding a rule, you have to enter the path to utorrent.exe manually in the format c:\users\....\appdata...
Otherwise it will automatically apply the %appdata% format and the rules won't have any effect.