I set it aside for later as I was so busy learning to use the iPad. Finally, I put a few jpgs on an SD card, "scooched" the rubbery case away from the iPad's port and stuck it in. Following the directions in the box, I waited for the iPad to recognize it. Well, was I surprised when I got a message on the iPad that said that there were no photos to import!
Rather than drive myself nuts, I put the items back in the box and waited until my tech guru friend came back from her conference. She told me that that is why it is called the camera connection kit. The iPad is expecting to see an SD card that has been in a camera.
Since my present camera is a Sony and uses memory stick technology and isn't an SD card, I copied the folder structure on my memory stick by naming two new folders on the SD card. When I added a jpg to the card in that right directory, and inserted it into the iPad there was a successful import.