A human or animal that's in utero hasn't been born yet — it's still an embryo or a fetus. You might set up a comfortable nest for your pregnant cat while her kittens are still in utero.
In Latin, in utero means "in the womb" or "in the uterus." While you can use the phrase for any pregnant mammal, it's most commonly used to talk about human fetuses and things that affect their development. For example, a fetus's kicks might be described by a doctor as "in utero movement," or she may be concerned about in utero exposure to cigarette smoke.