Dealing with Rejection - This article is the best I've found on rejection. He covers how to look at rejections, how to keep moving forward, and how to push through the odds in order to get to publication. The second half of the article is written with short fiction in mind, but the principle is still the same: the more you submit, the better your chances.
You can't submit your work to three or four agents, get rejected by all of them, and then think that's the end. Submit to anybody who could be interested. (Don't submit if the agent doesn't want to see your genre. I think this goes without saying, but... it happens.)
Fiction Factor has an article that covers the basics. It has some answers to some simple questions, and it puts rejection into perspective.