Unhealthy sadness is often associated with a nonaccomodating, rigid philosophy and may include some or all of the following elements: "This very bad thing is happening. It absolutely should not be happening and it is so bad I cannot bear it. The entirety of life is bad because it is happening and because I am not handling it well I am less worthwhile or less competent in some way."
The initial steps in REBT are to fully acknowledge one's upset and the beliefs that are associated with it. It is hard to develop a flexible and self-helping philosophy without first knowing the rigid philosophy that is interfering with adaptation to the adversity. Once the core must, the core should, the core I can stand it, and the self/other/world downing is identified one can work on carving out an alternative philosophy that is believable and leads to resilience and adaption.
Once an alternative, flexible philosophy is carved out there is more work to be done. It is easy to say a flexible philosophy but it is very hard to believe and consistently feel in accordance with such a flexible philosophy. All humans are fallible and as such have two competing capacities. By default we often think "Very bad injustices absolutely should not, must not, ought not happen to me." We also have the capacity to accommodate and adapt and carry on despite very bad injustices. This requires work and practice. Thinking flexibly about very bad events and doing so on a deep emotional level takes work and practice. Act on this insight. It can be done.