Not a windows user, but in iTunes there are options for you to select what items sync when the iPad is connected - perhaps you're not set up to sync photos?
Apple support document on the process here:-
http://support.apple.com/kb/ht4083
Also, Apple support docs for 'iPad Essentials' might be worth a read, if you're new to the system:-
http://www.apple.com/support/ipad/essentials/
Re. your News folder; tap and hold the App (icon) you want to move - they'll all start to 'wiggle' and when they do you can drag the app onto the News folder and it will be added to it when you let go. If you drag one app on top of another a folder will be created for you; iOS will have a stab at naming the folder for you, based on what apps are in it, though you can change this, obviously.
When you're done moving Apps around, a single click on the home button will stop all the wiggling, and lock everything back in place.
A word of warning; whilst the Apps are wiggling and movable, you can also delete them - there's a 'X' top left of each App's icon, so just take care when you're moving stuff around...
HTH Pete