I don't have an MSN account, so I can't give you detailed instructions. However, if you find that they give you the option to set up your MSN account as IMAP, use that in preference to POP3. It will give you greater flexibility when setting up and syncing folders across devices and computers.
Also, go into Settings >> Mail, Contacts, Calendars, and select your account. There is usually a set of Advanced options available. You will probably have to go one or two levels in, tapping on your account email address, to find it. There are sometimes options to change/setup basic mailbox locations there.
Do the IMAP first, if it's an options. That's your most flexible approach.
As for the GMail mailboxes, there are a lot of default ones. You can add or prune this list by going to GMail on the website and editing them there. The changes should automatically sync to the iPad. Personally I just left them alone, and created a few of my own for archiving the occasional important email. The website calls them labels, not folders, for some obscure reason that probably has more to do with how the programer set them up than how they are used.