Unless you are absurdly lucky or incredibly well qualified, chances are that you will not get every single job you apply for. Even if you get through to the interview stage, do not take this to be a definitive job offer. You may think the interview went superbly, resulting in confusion as to why you were not offered the job. In this instance, it may be that the interview did go well however they simply had a very specific criteria for what they wanted and saw these qualities better represented in another candidate. It is important that you do not take the rejection personally and as a measure of your future success. J.K Rowling was rejected by twelve publishers before Harry Potter was taken on, and if she adopted such a defeatist attitude she would not now be the best-selling author since records began.
First time job hunters may find themselves in a particularly vulnerable position, as your lack of experience in the work place can see you losing out to another applicant with a few years under their belt, regardless of how well your interview has gone. Use your youth to your advantage; you have an excess of time to land that dream job, so each interview offers another chance at perfecting the art of interviewing. Think of the interviews in which you are not offered the job as trial runs. Instead of focusing entirely on the negative, ask yourself what you think went well and how you could build on these strengths in your next job application. Do not be afraid to ask for feedback on your interview from the company, as an outsider's perspective may enlighten you as to which areas are your weakest and which are your positive qualities.
If you find yourself repeatedly not getting to the interview stage, it may prove fruitful for you to seek some advice regarding your cover letter and CV. It may be that what makes perfect sense to you does not translate well in your application. It may be that your English is not flowing in you cover letter, or that your CV is poorly laid out and not clear for an outsider's eye. Ask your university's careers service (even if you have recently graduated, it is still in their interest to give you a hand) and check out the Graduate Recruitment Bureau's CV makeover pack and cover letter tips, all on the Graduate Recruitment website, to help work out where you are going wrong.
Rejection is an experience everyone goes through in both their professional and personal life. Maintain a positive attitude and willingness to learn from past experiences, and avoid developing a chip on your shoulder or becoming cynical. The interviewers are experts in their field and so will know if you are the right candidate for the job and if you will slot well into their business. Be gracious and move on, the right job is probably just round the corner!