It would be nice if rejection didn't happen, but it does. Getting rejection letters (or emails, or badly photocopied scraps of paper with no personal content) is part of the writing game. I've gotten used to it, although I am hopeful every time one of my SASEs appears in my mailbox. I open the envelope, holding my breath, and then when I realize it is yet another rejection, I follow my ritual. I open up the database where I keep track of my submissions, I note the date the rejection was received, and then I scan the rejection and place it in the appropriate electronic file I maintain on a zip disk. (Most writers I know make a note of the rejection in their spreadsheet or their logbook or whatever and then discard the letter, but I like to be able to find it if I need to, so I do what I do.) And then it is forgotten and I move on.
Deborah Schwartz deals with her rejection letters a little differently. She posts them on her website. Check it out.