This means that your torrent client was unable to add itself as an exception to the Windows Firewall using the standard Windows Firewall API. This occurs when Windows Firewall is disabled or not present, or when you are using an operating system that does not support the API (operating systems older than Windows XP SP2).
The error is non-fatal, and can be safely ignored. If you want your torrent client to stop trying to add itself to the firewall exceptions list every time it starts, then you can disable the Add µTorrent to Windows Firewall exceptions option in the Preferences. If another firewall is present, you will still need to configure it properly to allow your torrent client to access the Internet.