Have you tried running as admin? I suspect windows is just blocking the install because it's unsigned (thats fine and normal, because the latest installer for UTAU was made by an independent developer 10 years ago lmao).
I still recommend OpenUtau, other than some current lingering bugs atm its just... much easier to do pretty much anything. I'm also coming from the perspective of someone who used the original UTAU for 12 years... Modern technical advancements in UI are just too appealing. BUT! If you don't like it you don't like, it, nothing to be done. Back to point 1) try running as admin then check back if that doesn't work.