Question: I think utorrent has been consuming lots of bandwidth and my connection is not that fast.
How do I set it so that it consumes the less possible bandwidth?
I've tried setting its download and upload limit to 1kbps. Together with the download bandwidth allocation set to low. I even exited utorrent but it seems that it is still consuming lots of bandwidth. How do I solve this one?

Answer: 
Try to limit the number of max connections. A lot of routers/modems have a limited number of connections they support (Windows does too by the way).

uTorrent can make lots and lots of connections, resulting in a slow network no matter if you actually download/upload at all.
Devices like home routers usually have problems when it comes to high number of simultaneous connections. Having many open connections is way more of a problem than bandwidth. Limit the number of open connection to 80 from your .torrent client.
It should be enough to up/down and not overkill anything in the process.

When you don'y use it, exit it (by right click and exit), as said by ChrisF.