Rope is one of two kinds tying equipment available in UrW, the other being cord. Rope can be crafted from 1 lb of leather, 1 lb of water (or standing near a water source), and requires a cutting tool (preferably a knife). Many crafting recipes which require rope can use cord; the only unique thing rope can do is to leash animals. When you purchase an animal, you will receive a free rope with which to leash it.
In the crafting menu it is in the utilities section with the name "leather rope".