Hey there!
You say you're a SAI newcomer, so I'm writing this assuming you have minimal knowledge of the program.
To copy your Utau onto the background, you're going to need both files open in sai. File>Open, then locate your files on your computer.
So you have your Utau open:
(This is just a scanned sketch I grabbed, but it gets the point across! I has excess stuff on it and I need to copy my creature onto a background.)
And you have your background open:
(Again, not a box art but something I want to put my picture on top of!)
The problem is, they're not in the same file! To fix that, we need to click the box selection tool.
You'll find that under your color wheel above all your brushes. Now, my SAI may look a little different from yours because my tool bars are on either side of the screen, rather than all being on the left side. Don't worry about that! They're all still arranged the same, despite being on opposite sides of the screen.
Drag that selection tool across all of your background. You'll see black and white dots moving around your selected area.
Dot city!
You can either go to Edit>Copy or press Ctrl+C to copy your selection.
Then, click on your Utau file in Sai. You can Edit>Paste, or Ctrl+V
Unfortunately, the background is now above your utau! To fix that, go to your layers window.
See how layer 2 (your background) is over layer 1 (your utau)? To fix this, you click and drag layer two under layer 1. When you click and drag, it will highlight pink. Once it's dragged far enough below layer 1 to be placed under it, a pink bar will appear under layer one. You can now release the layer.
Now, the background is under your utau. But your utau still needs to be isolated! So choose the freeform select tool located to the right of the box select tool.
Then drag it around your utau, so those same selection dots move around it.
Then, copy and past that selection. It will make another layer on top of layer one! Layer one is now irrelevant, so you can delete it by dragging it to the little trash can above the layer window.
Now, your Utau is on top of your background! Unfortunately, it has a nasty white around it from your selection. To fix this, click on the eraser tool or hit e. Then go around your Utau and carefully erase the excess white.
Then, you have successfully copied your Utau and pasted it onto a background using Paint Tool SAI!
I hope this helps!