“utorrent.exe” simply will not end [duplicate]
Ctrl+Shift+ESC to show Task Manager, on the Processes tab, right-click the offending process and choose "End Process"
Personally I replace Task Manager with Process Explorer (from sysinternals), better list navigation and you can use the Del key to kill a process.
Alt-F4 or click the close button. If the app doesn't respond within a few seconds, Windows XP (and probably everything after that) will show a dialog where you can kill it.