UTAU is completely safe. Like Stormy said, the only reason you might get a warning is because the program isn't signed off by Microsoft (this can also happen with drivers that come with a piece of hardware (such as an audio interface, graphic tablet, etc.).
Unless your computer is really old (XP old) or you're on linux, you don't need to use any of the aforementioned: 2.77, applocale, patches, any of that.
If you're running a modern Windows machine (vista/7 up to 10 insider preview) : change your system locale to Japanese. Download from the official site:
http://utau2008.xrea.jp/ At the very top, there's 4.18e - that comes with English (mostly) built in [it requires locale in Japanese because its coding is non-unicode and even with English UI, it can't be properly read without the right locale - you will get miscellaneous errors].
UTAU-Synth (for OSX) can be gotten from here:
http://utau-synth.com/download.html (1.0.0 b18) it does not require changing settings or anything and should work natively.