Rotation Lock can be controlled in two different ways: either by the side switch (located next to the volume up/down controls) or in the Recent Apps tray. The initial default is via the Recent Apps tray.
Check the status of Settings > General > Use Side Switch to:. If this is set to Lock rotation, the switch on the side of the iPad will lock rotations.
If this is set to Mute then the rotation lock control is in the Recent Apps tray. Double tap the home button and, in the tray which appears at the bottom, swipe all the way to the right to see the control.
This Apple Support article explains in more detail how the side switch works:
http://support.apple.com/kb/HT4085