it's best to use breath files in mixing, as it sounds best. it's pretty easy, especially in FL studio. but if you really want to use them in utau, you can. when you say "looked at the files" do you mean in the vb folder? if so, what I would recommend is going to voicebank settings (it's under tools I think, sorry don't have utau open/available rn) and then scrolling to (usually) the bottom to find where the breath sounds are. you can double click to listen to them, and on the ight under "alias" it will tell you what to input into the note to get it to play.
this will, however, be subject to .oto and will probably sound pretty bad. right click the note, go to properties, and in flags enter "$direct=true" to have utau ignore the oto and use the .wav sample directly. you won't be able to raise or lower the volume though, and I find it's usually a bit quiet if used this way.
edit: also, if it's changing to a yen symbol I have to wonder if there's a local issue