I try to be rational about it, note the ways that this thing did not live up to expectations, and think about whether this is just a fact of life, or if there's some other thing that might reach my expectations.
Maybe I'm wrong in my judgements, and accepting more of the former. Our resident Buddhists and nihilists will no doubt jump out of the woodwork to tell me that searching for more is wrong and will keep me forever unhappy, but that hasn't been my experience so far in life.
Prevention is cheaper than the cure, which is what the first reply here points out. I think it's the philosopher Seneca who best outlined how anger, disappointment and regret all stem from the same misalignment of expectation, and reality. The old truism of expecting the worst at all times is really quite hard to argue with, without resorting to sheer sentimentality.
The important question if you are already experiencing disappointment, however, is if you have you learned from it. Were your expectations realistic? If so, what went wrong? Can you apply that lesson next time, or is it out of your hands?
It's not that searching for something to make you happy will never be fruitful, it's more that when you have found something to make you happy, the tendency is to simply want more. It's perfectly possible to find happiness, it's just never enough, hence paradoxically "unhappy" in the sense that you always have some new idea of happiness to chase that you don't currently posess.
I think wrapping your head around that is a very useful exercise in mindfulness, not in the wishy washy "well there's no point trying to achieve anything" sense, but in helping you to really view what you do have and what you could have a bit more objectively. I'm a hedonist, I don't resist nor see any inherent virtue in resisting the instinctive drive to seek pleasure. But I know when I'm going to make myself miserable by lusting after something that I'll never realistically have.
