when you connect to someone via p2p, they get your IP address.
from your IP address they can get your ISP, and send them a complaint.
the complaint would list your IP, torrent name, and time of the connection.
with this info, your ISP can determine which computer was connected to that IP at that time, and then send you a warning.
to prevent this, you can get a program called peerblock, which has a constantly updated blacklist of bad IPs that it prevents your computer from connecting to.
another way to prevent getting caught is by using private trackers instead of public trackers, as anti-p2p organizations usually only monitor public trackers.
there's also a few settings in utorrent you can tweak to minimize the number of stray connections it attempts to make, like disabling peer discovery for example.
usually the first message you get from your ISP is only a warning and no action is taken.
repeated warnings will likely result in actual shit happening which you'd want to avoid, like disconnection or legal action.
so if you already got 1 warning, definitely don't continue doing what you're currently doing.
take some steps to increase your anonymity, then pirate away.