Work issues

I have this issue at work. I requested a day off (Wednesday before Thanksgiving) about 2 and a half weeks ago. My managers did not authorize it, stating that I had to submit a request 6 weeks in advance according to a new policy.
They allowed two other employees to take days off even though their requests were submitted around the time I submitted mine. That is a factual circumstance. I have been feeling discriminated against because of what happened.

C: I was not allowed a day of vacation, but others were
T: It’s not fair
F discriminated
A want to go and complain to HR and higher management, despise managers, not sleeping well.
R not wanting to work for my current company

Please help to manage my thoughts about what happened. I have a hard time being at peace with the situation.