You need to do this:
#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:
#include "path/to/SD/library/src/utility/SdFatUtil.h"
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.