Rejection is a vital facet of gaming and dating in your life. If you can't embrace being told "No" by a female you meet or can't stomach the "I'm busy" line then may you forever be disabled by rejection, never to bother approaching again. As has been told before, it's best to become IMMUNE to any and all rejection.
That's it, immunity from feeling ashamed, embarrased and hurt. You in turn will become more confident, easygoing, approachable (by women and men) and able to make more approaches and not mind the outcome. There is no more rejection because you are a MAN and it feels good to have approached and opened regardless. Do this and say in your head after you've been brushed off or told no "...thanks for playing" and go on to the next.
My friends have been impressed by how I can just approach any set or individual in the clubs, bars and even in a mall. They want to know how they can go about opening up chicks all over town and stop being plagued with fear (LOL). There is not a single pathway to success in this regard and may vary depending on where you live and how often you are willing to get "rejected" a lot only to succeed down the road.
I started with doing solo daygame approaches in a busy working city and its suburbs. Then came daygame approaches in a college setting on and off-campus (i.e. bus stops, gym, class, games). Later I progressed to bars and clubs solo and forcing myself to interact with so many groups of people so as not to be the awkward guy standing alone at a bar sipping a drink and scanning the floor constantly. I then progressed to opening women while out solo and getting numbers, makeouts and dances on the spot. Sometimes lays from those solo closes. I essentially forced myself to become comfortable in my own skin, in many venues. Don't dwell on "rejections" but learn from it and avoid repeating mistakes.