If you're using a Mac, the folders "Library > UTAU > voice" do exist on your computer. If you can't find them, they're probably hidden.
If you open up your User folder (the one that looks like a little house, and is generally named whatever your username is) there should be a Library folder for user-specific applications. If the Library folder isn't visible, left-click on the window to get a pop-up menu. Select "Show Library folder," and you'll get a menu of options to select or deselect, including "Show Library Folder." Select this option, and the user-specific Library folder will be made visible. Inside of it is the UTAU folder, and inside of that is the "voice" folder.
You can also open the "voice" folder via UTAU-Synth. Open the program, and click on the character icon in the upper-left corner of the screen. A drop-down menu will appear, showing you what voicebanks UTAU-Synth currently knows about. Down at the bottom of the menu is an option that says "more..." Click on it, and the "voice" folder will open in the Finder.
Also, just for future reference, you can (or should be able to) use any voicebank without turning it into a .utau folder. Open UTAU-Synth, then click and drag the voicebank folder you want to use to the chars icon in the upper left corner. Release, and a message should pop up, asking if you want to use that voicebank. Say yes. The voicebank you drag-and-dropped will be loaded. If you look in the "voice" folder afterwards, you'll see that an alias for that voicebank folder has been added. Any voicebank you load in UTAU-Synth this way will have an alias automatically generated in the "voice" folder.
Hope this wasn't too confusing! ^^