What mail service are you using? If Gmail, create labels on the gmail website, then you can assign the email on the ipad to the labels in gmail. If you are using IMAP.
You cannot create email folders on the iPad itself.
And if you are using MobileMe you can create new folders in the Mail app on your Mac, or on the MobileMe site. If using the Mac's Mail program be sure to create them in the yourname@me.com section, or they will only show up on the computer.