When you try something and it doesn't work, you can say "Oh well". Saying "oh well" shows that you're not too upset about it not working. People often use this to show that they've given up and stopped trying. Here's an example of something to say after you've been looking for your missing iPod headphones for 5 minutes:

Oh well, I guess I must have left them at work or something.

Since this phrase shows that you're not worried about something not working, you shouldn't use it if you fail at something important. People will think that you didn't care or you didn't try very hard to be successful.