OK - if you want to have additional folders in the iPad's Mail app you need to use the IMAP mail protocol. Unlike Windows Mail, you cannot create folders in the iPad's Mail app. You need to create them on your email server first - perhaps using webmail - and then check that you're using the IMAP mail protocol (the POP protocol cannot do this). IMAP makes the iPad Mail app a virtual 'window' onto your ISP's email server so, any folder structure you establish there, will be replicated in the view you see on the iPad.
If your ISP doesn't support the newer IMAP protocol (most do) then you cannot create new folders on the iPad Mail app.
You can change the protocol in the iPad's 'Settings' app - go to 'Mail, Contacts, Calendar', 'Accounts', click on the account that you're using and edit the settings to switch from POP to IMAP..
Tim