Usually, todays email clients are configured using the IMAP protocol. That basically means that your devices (iPad, iPhone, Mac, etc...) are configured as "readers" for your email that is physically located on the email server. This is considered the "better" way to do it so that any changes made by one device are instantly reflected on all the others.
To do what you are talking about, you would need to change your configuration to use the POP protocol. This is the "old" email way. The device connects to the server and actually downloads a copy of the email to itself (and usually deletes it from the server). This leaves you in a situation where some devices will have some emails and not others. In most cases this is not what people want (and is the main reason IMAP was developed).
If you really want to try this, then read up on how to configure all your devices POP access to MobileMe. That way each device gets its own "copy" of the email and you can delete what you want.
Personally, I strongly recommend against this. For one thing, it will take up a large amount of space on your devices (probably doesn't matter on your Mac, but it will on your iPhone/iPad). Also, you can get your devices "out of sync" and find your self going through all your devices to find "that email from Mom".
