I am not sure what this setup utility is? I just can't remember hearing that term. Was it just a normal information box that was referring to the "setup utility" or was it it a black command box? Can you find an image on Google that matches what you saw?

One thing I would do is right click on the C: drive in Computer and select Properties and then Tools and then Error Checking. In the window that opens leave just the first box ticked and hit OK. It will come up with a message that it will schedule for the next restart. Say OK. If you have to restart at least this way you will get a filesystem check.

The "Exit Setup Utility Without Saving" is a typical boot menu, also known as setup utility, prompt. It is used for configuring your BIOS settings, such as the default boot drive, and leaving without saving was probably perfectly okay. It's not part of Windows at all, is actually "firmware" which is integral with your motherboard.

The computer start process usually tells you how to get that menu, on most computers you press F-10 right after turning the computer on and before Windows begins loading.

But I wouldn't get too excited. Sometimes computers go to sleep and just don't want to wake up.

My computer, Windows 7, did that a few months ago. I even tried turning it off with the power button and nothing happened, so I had to unplug the damned thing from the wall and plug it back in. It was in a bit of a snit when I turned it on then, with the message about how it had not been shut down properly and offering me choices to start in safe mode, regular mode or enter the setup menu. I said to hell with it and just told it to start in regular mode and everything has been fine since.

I would "exit without saving." That way you aren't doing anything to mess things up.

You probably got there by hiting "Restart" while it was in the midst of loading Windows. Usually when you don't know what to do, the best thing is to do nothing.