Here's how to set up a VPN for an iPad. Please note that you will need a VPN service for this method to work. These are available from various providers or you may have one from work or college.
When the link is enabled it established a Virtual Private tunnel between you and the server. All communication between these links are encrypted, and your real IP address is hidden. Common uses are to bypass blocks and internet filters e.g. to watch BBC iPlayer outside the UK and Hulu outside the USA. It also will allow you access to sites that maybe restricted in certain countries e.g. when Turkey blocked access to YouTube and Twitter using a VPN would circumvent that block.
Some people also us a VPN on iPad for security, for instance it encrypts your traffic when you're using unfamiliar Wifi networks. So it's useful for protecting your user credentials when logging on to banking, email or sites like Paypal. Most businesses that allow Remote Access do through a Virtual Private Network (VPN).
The link above has details of the best value VPN provider I've found that works on the ipad and most other devices.