UTAU can only produce vocals. When you're finished editing the vocals and would like to complete a cover by adding the music, you need to export the vocals to an audio file by using Project > Render wav File.
After that, you can use a Digital Audio Workstation (or DAW) to mix the vocals and instrumental. There are many options, some of which have been collected here:
https://utaforum.net/resources/songwriting-resources.181/
This page also has links to plenty of useful plugins for mixing.
In general, while mixing UTAU vocals, you will be using equalization (EQ) to change the volume of different audio frequencies, and reverb to help the vocals blend more into the instrumental. You should also go on YouTube and search for "vocal mixing tutorial" for more advice. (Even if they're not using UTAU, it should mostly be the same!)