Most people coming here will already have a basic understanding of what exactly UTAU is. But if you happened to stumble across this page, or are just generally curious, I'll go ahead and give you a quick intro to the program.
According to the UTAU wikipedia,
"Utau (stylized and most often referred to as UTAU) is a Japanese singing synthesizer application created by Ameya/Ayame. This program is similar to the Vocaloid software, with the difference that it is freeware instead of being released under third party licensing."
In other words, UTAU is a program in which you can use a bank of pre-recorded sounds to create vocals. Unlike with VOCALOID, you can record your own voice and create a voice bank with it. There are endless possibilities with this program, so don't be shy to jump in!