Steps

1)
Acknowledge that anyone can be rejected. Moreover, rejection is happening all around you, all of the time. In other words, you are not alone. Clearly, you'd have preferred that it didn't happen but it has, yet no matter who you are, rejection will happen now and then. Trying to avoid it will limit your life's experience, not improve it.

2)
Allow yourself to feel bad initially. It is normal to feel bad, so don't try to bottle up your disappointment and sadness. However, don't allow yourself to feel this way for too long––you risk coloring your future endeavors with a negative impression if you start seeing this as something that will happen again, no matter what you do. You still have control, you still have an opportunity to learn from this experience and to approach the future wiser and more fortified.

3)
Understand that ongoing feelings of sorrow are self-delusions. For example, if the rejection you've experienced is that someone has turned you down for a date, your continuing sorrow is a reflection of believing that you need that person in your life to feel happy. This isn't true. Being around a person, talking to people, kissing a girlfriend––these are all just pleasures. They can certainly bring you temporary happiness, but they're not permanent and they don't define your own choices to be happy within. If you continue to think that these pleasures are what constitute true happiness, you will keep fooling yourself into believing that you should feel terrible because you don't have the person or didn't get the opportunity. This chase for a pleasure based solely on what you haven't got can easily become an addiction that only brings you more sorrow in the long run.
Pleasures are temporary, they come and go and have no permanent place in your life. Understanding this will help you to understand that pleasures aren't the source of your happiness. Being happy is an internal process, something that comes from within. By realizing that rejection isn't loss of your inner happiness, you won't make yourself suffer.
There are only two ways your mood can be affected by others. Either you could have been chosen to be with someone or to do something and you'll add the pleasure of that experience to your already happy life; or, you'll experience rejection, yet importantly, nothing will have changed in your existing happiness in life––brief disappointment is normal but your happiness level should remain constant.
Life is not about being sad and looking for things to make you happy. It's case of being happy and taking part in pleasures that give you a boost to your already happy life.