So it was by far not trivial but in the end I achieved (more or less) my aim: have 2 uTorrent 2.0.4 instances run in parallel with wine 2.4 staging on Linux (Mageia 5)
The overall stability seems good but there are details which are not working normally. One example can be the vertical scrolling bar not always working, depending of the detail info pane (F5) toggle. This bug is not constant and not really a problem. Another annoyance is the wine explorer, which for instance does not allow to copy paste a file / folder. Besides, under the condition that you managed to have the drives staying mapped as needed within winecfg, basically the content of resume.dat is loaded as it should. Biggest annoyance here though is, that somehow (not sure why) the information about what file was skipped in the torrents (partial downloads) went lost. So if you force re-check before setting this back as it was, you are going to lose a part of your data (the .dat file keeping the part of the chunk not placeable within the downloaded files). In other words, you will typically have to re-download at least one piece (99.9% completed). Force re-checking instead of starting the torrent is a good idea here, except if you don't mind to have uTorrent downloading the missing pieces automatically upon completion of the recheck. This being said, strangely I also lost several pieces of data here and there. I'm not sure why, the disk seems in perfect state (smart) but I assume that it's when the data was not used (read, maybe even refreshed, re-written) for a longer period of time (3-6 years in my case, can't tell exactly). This has to do with the HDD magnetic platters, off topic here. [Hint: 'badblocks -snv' is your friend]
So here a summary (see
here for details) of all what is needed for future reference, I hope it can help some others:
1) Install wine (latest version,
not the one presently in the official Mageia repos!)
2) Start the wine configurator (
NOT as root /sudo !!) with 'winecfg' (easiest default way). This will create a wineprefix (environment) in your home directory called .wine by default.
3) Select Windows XP and map the drives as needed. Save (ok) and start the configurator again, to see if the drive settings where retained or not. If not, or just partly, try to fiddle a bit with 'Autodetect' or 'Show advanced' and filling also 'Device' (like /dev/sda). Do this until you reach what you need. It's buggy, remember, but I succeeded like that, even if it seems stupid.
4) Start uTorrent like this basically:
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wine start /unix '/home/user/path/utorrent.exe' (remember that your old resume.dat and settings.dat must be in the same directory, besides other optional files)
NB: There are other ways but this is the safest IMHO.
5) Only if you want to run a second instance in parallel: either copy and rename the .wine directory and all it's content to something like .wine-second or build a second wineprefix with
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WINEPREFIX="$HOME/.wine-second" winecfg
Then start the second instance with:
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WINEPREFIX="$HOME/.wine-second" wine start /unix '/home/user/path/utorrent2.exe'
NB: You may want to edit your launcher and search for an uT icon image, so it's looking neat in the launcher menu.
rtorrent I'm presently investigating, but it's not straight forward for GUI used guys like me... 
I will try to complete it with ruT, which is a another (big) ride to setup.