Headsets don't come with the iPad. All you get is the iPad, USB cable and wall charger.
Since you're new to iPad ...
You can download a complete iPad User Guide here: http://manuals.info.apple.com/en/ipad_user_guide.pdf
Also, Good Instructions http://www.tcgeeks.com/how-to-use-ipad-2/
Apple - iPad - Guided Tours
Watch the videos see all the amazing iPad apps in action. Learn how to use FaceTime, Mail, Safari, Videos, Maps, iBooks, App Store, and more.
How to - Articles & User Guides & Tutorials
iPad How-Tos http://ipod.about.com/lr/ipad_how-tos/903396/1/
You can download this guide to your iPad.
iPad User Guide for iOS 5
Yes TMM did answer your question. He just included a lot of other information with his answer.
The iPad does not come with earbuds in the box. They are not sold as part of the package. You can use iPod or iPhone earbuds with the iPad. They do work. However you really have to give them a firm push to get them into the iPad. It takes more pressure than you might be used to using.