Go to preferences and under general, click "associate with torrent files". If you're running vista run utorrent as Adminastrator before associating the torrent files.
Reapeat for bitlord. (steps will likly be different for bitlord)
To open with utorrent or bitlord when you download a torrent just download and a Dialog should come up and ask if you want to open the file with... (then the name of the appication you want it to run with)