I think in uTorrent, there is an option in the preferences, that allow you to configure the Red X, to be either Exit Program or just to minimize to System Tray Icon (bit next to the clock).

I think there is a newer uTorrent version 1.7.5 (from the website it was released on Sept 11, only a few days after your post!)... It has full VISTA support, so it should work better for you.

http://www.utorrent.com/