Openfiler, like most single-purpose distros, is not designed to have a lot of features. It's designed to do one thing and not waste time or resources on anything else. I'm willing to bet that many common Linux programs that you might find on a desktop will NOT be present in an Openfiler installation, simply because the guys who put the distro together didn't think it was necessary.
To have those programs you obviously have to install them. Most Linux distros use what is called package management with automatic dependency resolution. This means that there is a set of servers that contain vast quantities of software prepared specifically for that distro, and that by requesting one the system can automatically see what prerequisites (dependencies) are required for it and grab those too.
Sometimes though the distro maintainers don't include this functionality. I'm willing to bet, again, that they saw package management as being unnecessary on a file server-specific setup. Therefore nobody has prepared ready-to-go binaries that will work with your system. If you were using a more general-purpose distribution like Debian or CentOS you'd be done by now.
The solution to this is to compile from source.
You're right about Wine. uTorrent is tested and works perfectly in it. The trouble here is that you need a graphical interface to use it. The GUI on Unix-like systems is generated using a system called X or X Windows. It allows windows and such to be drawn and a whole bunch of other GUI stuff. I'm, for a third time, willing to bet that Openfiler doesn't come with any GUI. You'd have to install it yourself.
Have you considered a virtual machine? Virtualize your Openfiler installation, install something easy like Debian, and use an easy VM like Virtualbox to hold the Openfiler install and also an XP or W2k install. I don't think there's any point in using up a Server license when all you want to use is a little torrent program.
Still I'd consider using rTorrent since it's faster and wouldn't require a VM or separate server.
EDIT: Whoops, forgot to address some things.
The CLI is the Command Line Interface. with a non-desktop distro like Openfiler you're most likely to just have this, no GUI. The Linux (and Unix-like in general) command line is extremely powerful. You can do all manner of activities from it, including downloading files, browsing the web, chatting on IRC, sending and receiving email,
managing bittorrent downloads, creating and extracting archives, filesystem manipulation, text editing, programming, CD/DVD burning, media encoding, map network shares, mount and unmount virtual filesystems such as .iso disk images, even photo editing. Darn near anything you can think to do on a computer can, in some way, be done from the Linux command line. The DOS and NT command lines are not nearly as powerful. They are largely limited to basic file manipulation using an, IMO, bizarre syntax. check out the "What Have You Done With Linux Lately" thread a few down from here for an idea of what people are doing with the command line.
SSH is the Secure SHell. It allows you to log into a remote computer that accepts such connections over an encrypted link so that nobody can snoop on your communication. It's the easiest and best way to remotely manage Linux boxen. When you're in an ssh session it's like you're sitting directly at that machine. Since your server probably doesn't have a monitor or keyboard attached this is how you'll talk to it.