When I click on a torrent link, Firefox asks me what I want to open it with and don't know which file I should point to.

Either you save the torrent file somewhere and load it afterwards in ktorrent, or you point firefox to the file /usr/bin/ktorrent and start ktorrent this way.
(most of the time the command you need to start an app is located in /usr/bin/..)

I think saving is your best bet, FF doesn't really integrate well with KDE.

And if you want to figure out the path of ktorrent, you can run this command in a shell :

which ktorrent

Thanks for that, I was mistakenly thinking that it needed to be opened and ran, saving it to a directory makes sense as it's easier to make available for others too, thanks!