#include <SD.h> //adds the SD library folder to the #include search path
#include <utility/SdFatUtil.h> //must specify the path relative to the SD library source folder
Of course, SD.h actually contains the line:
#include <utility/SdFatUtil.h>
so in this case it's not necessary to add the second line to your sketch but it's good to know how to do this as a general reference.
Another option is to specify the full path to SdFatUtil.h in the #include directive:
In that case it is not necessary to #include SD.h. The problem with that is it makes your code not portable since it is dependent on the specific folder structure on your computer, which might be different on another computer.
I believe in this case the SdFatUtil.h was originally part of the SdFat library the sketch requires:
* needs SD Fat library too https://code.google.com/p/sdfatlib/
The Google Code link is a good indicator this is a very old sketch. As you probably found, that Library is now developed here:
Or the more recent work here:
But they do not contain a file SdFatUtil.h anymore. The file of that name in the Arduino SD library is in some way related to the SdFat project so hopefully things will work but I don't think it was the author of the sketche's original intent for that to be used, thus the difficulty you've encountered.