The correct option is C disappointed
It goes without saying that anybody would be disappointed if they didn't pass an examination. So, in this case the sentence would be: Naturally I'm disappointed that I didn't pass the examination but I'll do better next time.
The word 'disillusioned' is to get over a preconceived or imagined belief, which in this case is absolutely irrelevant and so are the other words like deceived, despaired and tricked. So, option C is correct and the other options are not because they do not provide the appropriate information.