Disappointed means discouraged or sad because what you hoped for didn't happen. If you write a fan letter to your favorite actress hoping for a personal reply, you're likely to be disappointed.
The original French root of disappointed is desappointer, which has one meaning that's basically "to fail to keep an appointment." So you might imagine the word disappointed like this: you made an appointment with a friend, but he blew it off. What could leave you more disappointed than that?