So: 1) You turn off uTorrent
2) move the file wherever you want it to( if windows doesn't allow it you just start uTorent and delete the torrent entry from the list)
3) start uTorrent, right click on the torrent entry, go to Advanced and select "Set Download Location..." then you locate your file into the new folder that you put it in and press ok.
Note: if you removed the entry to move the file itself just download/open the torrent file again, stop the download and "Set Download Location..." to the place you moved the file and press start. You torrent should check the file and confirm that it's ok.