Q: How do I highlight an entry in the calendar on my iPad?

You can't with the built-in calendar app.  You might be able to do this with an app like Week Calendar: https://itunes.apple.com/us/app/week-calendar/id381059732?mt=8.  (It's the "Swiss Army knife" of calendar apps.)

Perhaps I misunderstood you. Are you talking about using different colors for your different calendars?

This article explains how to assign colors to calendars: http://help.apple.com/icloud/#mmfbbb3c60.  An event on your iPad iCloud calendar will have colored dot in the month view if it is a timed event. It will have a colored dot and bar ("highlight") if it is an all-day event.