What does “Error opening Windows Firewall: 0x800706D9” mean?
This means that µTorrent was unable to add itself as an exception to the Windows Firewall, using the standard Windows Firewall API. This most likely means that the firewall is disabled or not present. You can safely ignore this error. However, if you have another software firewall, you will still need to manually configure it to allow incoming and outgoing connections.