This can occur because of several different reasons:
te, a, べ、お
, etc, it's a CV .UST.a か, -た, e へ, -る
, etc, it's a VCV .UST.o ts, か, a p, ど
etc, it's a CVVC .UST.You don't have Japanese locale installed, or it was installed incorrectly.
You will have to uninstall UTAU, fix your Japanese locale, and reinstall UTAU. Check your system requirements here, and here is a tutorial on setting up Japanese locale and installing UTAU.
If you are unable to use Japanese locale on your machine, because you have an older version of Windows, use a shared computer, or don't have admin access, you can still edit .UST notes by hand if you know hiragana (or pull up a chart). Double-click on a note and it will show its original hiragana lyric. You can overwrite this by just typing the roumaji equivalent directly. This is a very tedious process and I would highly recommend avoiding it. You may be able to use plugins like Bizz's "The Best Things I Could Think Of, Etc" to convert the notes from hiragana to roumaji, but there is no quarantee they will work on a computer without Japanese locale.
This error is not very well understood. It is recommended that you save your work often to be safe. For me, this can happen when I am editing the pitch of a note and the program has some sort of problem where the red line (the one that shows up when you hold down the mouse button and select a group) doubles and the error dialog box shows up. If you get this error, you will have to close UTAU either by right-clicking on the icon in your taskbar, or by closing it through the Task Manager.
This error can happen for a few reasons.
It's probably some sort of locale problem. Either the .UST file is named something your computer can't read, or the folder it's contained in is named something your computer can't read.
For example, you may have Japanese locale installed, but if you download a .UST for a song in Korean and the name of the folder is in Korean, your computer won't be able to read the file name and will just open UTAU as a new, blank project.
You can quickly fix this by renaming the .UST or folder to something your computer can read. Latin letters are almost universally used by computers, so your safest bet is to use those or whatever language your computer was initially set up with.
You don't have administrative access for UTAU. You need to make sure you run UTAU as an administrator, every time you open UTAU. This page explains how to run UTAU as an admin.
If you can't get admin access for whatever reason, UTAU should still be usable, it's just that you won't be able to use some specific features, like editing the prefix.map.