This should only happen if you are deleting a photo from camera roll, not from other albums that you create from photos in camera roll. The reason they are deleted "everywhere" when you delete photos from camera roll is because the actual photos are in camera roll. The albums only contain pointers to the the photo in camera roll, not a duplicate photo. Thus, if the photo is deleted from camera roll it is no longer available to view in any other albums that may have contained it.
The links below have instructions for deleting photos.
iOS and iPod: Syncing photos using iTunes
iPad Tip: How to Delete Photos from Your iPad in the Photos App
Another Way to Quickly Delete Photos from Your iPad (Mac Only)
How to Delete Photos from iPad
How to: Batch Delete Photos on the iPad
(With iOS 5.1, use 2 fingers)
How to Delete Photos from iCloud’s Photo Stream