Sorry if this has already been answered but I wanted to do the same thing and a quick google search aided me in finding the solution to this. I found this thread during my search for an answer so I'm posting how I resolved this issue.
Firstly launch the
mail.app and select
Mail>Preferences
The select
Composing button from the Preferences window.
There you should see an option for
"Create notes and To Dos in" and from the corresponding pull down menu select
"on my mac" as opposed your mobile me address or server.
Ok now thats done the
Apple Mail To Do folder will not be created/recreated on the server side but as the folder as apready been created you need to delete it.
To do this simply add your mobile me email account via the settings on
apples support site in an alternative email application. I used entourage but I guess it can also be done in free apps like mozilla thunderbird.
Once the account is created you will notice that the Apple Mail To Do folder is visible. Simply delete it. Once this is done you can then check your mobile me mail account on your iphone and if it refreshes the folder should now no longer appear.
You can then delete the email account you have created in your thirdparty mail program and continue using mail.app.
Hope this helps.