Wow, these answers leave a lot of be desired. :P
Frustrated is neither 沮喪 (depressed/depressing), nor is it 失望 (disappointed)
(洩氣 can be used, depending on the circumstance)
Frustrated is 挫折, Sense of frustration is 挫折感
A few sentence examples:
"My boss is frustrating me."
我的老闆讓我很挫折。
"My boss is very frustrated with me." / "I cause my boss great frustration."
我使得我的老闆很挫折。
"Learning Chinese causes me great frustration."
學中文讓我很挫折。 or 學中文給我很大的挫折感。