Pain is pain. It's obviously not fun, but it is useful to try to determine the causes of pain around us. To wit:
We all know that everyone has different needs. If the women we're interested in (let's call them Ws) aren't interested in us, then, we're not addressing the needs of the Ws. Two good discussions (one funny and one that'll make you smack your head) on this are found in TheCompleteAssholesGuideToHandlingChicks and TheSelfishGene.
So, we can change our behavior or we can change which Ws we like. Everyone is going to make that decision differently.