1. Accept it
Some people may feel denial after a disappointment. It's not very healthy to be in denial, because if you don't accept the situation for what it is, you can't take the next steps to move on. Take a deep breath, and come to terms with what happened.
2. Don't be a sore loser
If someone else achieved what you wanted, don't start taking your frustrations out on them. Face your failure with grace, and people will respect you even more for it.
3. Don't linger on it
Of course, it's good to figure out what you did wrong this time so you can do better in the future, but there is a fine line between being proactive about your mistake and harping on it. Once you realized what went wrong, or if you find that you just cannot figure it out, drop it and move on. It's better for your mental health if you focus on the future, rather than the past.
4. Reach out to friends and family
Your support network will help greatly during a tough time. Reach out to friends and family, and revel in the knowledge that you have loved ones who will stick by you through thick and thin.
5. Move forward
Even though your disappointment has got you down, there are still plenty of possibilities ahead for you. You might even be thankful later for the disappointment, as it may open up an opportunity that you had not previously considered.