This is not possible in 2.0.
However.... µTorrent 2.1 alpha has this functionality.
(screenshot borrowed from DownloadSquad link above)
You can grab the latest build from here.
Actually, µTorrent can indeed be instructed to prefer parts at the beginning and end of a file. It has a specific option just for that purpose, and has had this for quite a few versions.
To inform µTorrent to do so, open up the Options menu on the main µTorrent window and select Preferences. There's a shortcut key for this step; simply press Ctrl+P instead, if you like.
In the Preferences window, select the title "Advanced" in the left-hand side pane. Then scroll down on the list of Name-Value pairs until you find one named "bt.prio_first_last_piece". Select it, and choose True for the value. Click OK.
There, you're done. Now µTorrent will favour the pieces at the beginning and ending of a file whenever it can do so, and you'll often find that files being downloaded will get their first and last parts before the other pieces.
A bit late for the original asker, I guess, but I hope any wandering readers might appreciate the information.
This can also be used by bittorent.
Best Answer
According to this question sequential downloading is not supported and won't be. Maybe there are plugins for this for uTorrent.
Edit: i did find this Plugin for uTorrent. (But you need to check if it works and does what you want.)
(translated page)
But another way to go is qBittorrent.
It has a function Sequential downloading (aka "Download in order").
(You can read about it in this question)
However, this feature comes with a health warning:
qBittorrent: