There is no reason to be afraid of it. Why? Because she is not rejecting you as a person. She doesn’t know you, your family, your friends, your background, etc. She is only rejecting your method of approach. Essentially, she is giving you feedback on your body language, telling you that some visual cue from your body and actions is not appealing. Take that criticism and think about what you did wrong. How did you feel walking over? Were you completely relaxed? Were you nervous? The only way to learn is to practice, make mistakes, analyze, and repeat.
If you want to learn how to approach women, you need to approach them regularly. Before going out, set the goal of approaching 4 girls before you are allowed to go home. If you go out three times a week, you’ll do 12 approaches a week. After two months, you’ll have approached close to 100 girls! That’s probably more approaches than most guys have done in their entire lives!