If it was rejection after a long relationship, then it depends on whether you WANT to be her friend or not.

but if it you went up to a girl that you've known and you finally showed her you are interested and she rejected you, then definitely step back and don't contact her. This provides either one of two scenarios:
1) She doesn't care that she hasn't heard from you, so the contact remains broken, and you move on to bigger and better things
2) It drives her totally NUTS, because there are some girls out there that won't be interested until they realize they don't have it anymore. Then they want it back (although usually its too late) And she'll most likely get in touch with you if thats the case, because she'll start questioning whether her decision was the right one

__________________
Cinderella said to Snow White
"How does love get so off course
All I wanted was a white knight
With a good heart, soft touch, fast horse
Ride me off into the sunset
Baby I'm forever yours"