The short answer: You can't do it in the iPad app. It's designed to sync with a more comprehensive calendar app in the cloud or on your computer.
A Better Answer:
Go into Settings / Mail, Contacts, Calendars and look at what Accounts you have set up. Should be at the top of the screen. Each account will list the kinds of things it is syncing with.
My primary account is my username@me.com account. It syncs Mail, Contacts, Calendars, Bookmarks, and other stuff.
If I want add new calendars to iCal I go to my MobileMe account online and create them there. I also sync calendars from my Google account. You want to find the account or accounts that you sync with and go to one of them to create a new calendar.
If you don't have any, you can easily set up a Google account and make some calendars there. When you have them set up the way you want, or before if you are in a hurry, go back to settings and choose Add Account.
Or:
Alternately, you may be syncing your calendar through iTunes. To see if you are: plug the iPad in to the computer, open iTunes, choose yoru iPad from the left column, and go to the sync tab (sorry, that's not the name but can't double check right now).
You'll be able to see what kind of local syncing to your computer that you have set up. If you do have syncing set up for outlook, or exchange, or whatever Windows 7 program they use these days, then create your new calendars in that program then sync the iPad.