I also had this problem, but it was a few years ago so I don't remember much on how I fixed it.
If you just got UTAU, and especially if you changed your locale *after* installing it, it's possible you might need to uninstall and reinstall it to get it to work properly. Other than that, I also vaguely recall having issues with things because I wasn't running UTAU as an administrator, so that might be part of your problem.