You can only create additional mailboxes if your email account is an IMAP account. You tell this by tapping on your account in the mailboxes window - and in the window that shows your inbox, sent folder, trash folder, etc - there will be an Edit button at the top of that window. If there is no edit button - you do not have an IMAP account and you can't create new mailboxes. If the Edit button is there - tap on it and the tap New Mailbox at the bottom of the window.
I assume that those folders in your email client are local folders that reside on your computer and on the computer only - and will not sync to the iPad. I have Comcast email and none of the folders that I set up on the server sync either because it is a POP email account.