It depends on the account type. If your provider is using POP, you can't do it. If your provider is using IMAP or Exchange, then create the folders on the server (using a browser), and they will automatically sync to the iPad.
Some providers have both POP and IMAP account types. Check with them to find out what your setup options are.
MobileMe: IMAP
GMail: IMAP or Exchange
Yahoo: acts weird. Od the iPad it acts like IMAP (sometimes), but does POP otherwise.
Hotmail: Not sure about the default, but it can be set up as an Exchange account.
I don't know about other email providers.