Depends what the setback was. I always give myself cooling off time when dealing with something like that.
Once i've had thinking time then i'll deal with it.
having some time away to calm down is a good idea, you have to do whats best at the time either for yourself or for everyone involved, it depends on how they let you down I expect
every one is different legend, I suppose I have sat and sulked about things that have not gone my way in the past, but have also (as I get more mature--ok.... older) realise that I do have accept what has happened, OR if there is anything I can change............. theres no time like the present to try and change it for the better!!
I have had a couple of major let-downs. I screamed to myself a couple of times then shook myself and got on with life!
It's not easy but life is too short to sit and wallow (mind you a good wallow in self pity does you the power of good occasionally)