This option is a bit hard to find. Open a file manager window, go to "Edit->Settings" and check the box that says "Disable queries when opening executable files" (or similar).
Unfortunately, I only have a german screen shot, but you should find the option.
Note that it's better to configure port forwarding in your router, rather than allowing a torrent client to do so. If any computer in your local network gets infected, the malware will be able to open ports just like your torrent client did, and host a phishing site or an illegal drugs/guns/porn shop on your machine.
Opening a port in the router config will ...