If your profile is correct and you are still running iOS 4.3.3, you can't create email folders in the mail app. You have to create them on the server in your webmail - log into your email account with Safari or whatever browser that you use - and create the folders there. The changes will be reflected on the iPad. You have to have an IMAP email account in order to create folder - if I am not mistaken.
If you are running iOS 5 - launch the mail app - tap on the email account that you want to create the folders for - tap Edit at the top - next to the name of the email account - and tap New Mailbox at the bottom of the window.
But once again - only if the email account is IMAP - will this work