A Masters programme constitutes your first confrontation with the environment of proper research. But apart from preparing you for the possibility of doing further PhD research, it can also equip you with the skills needed on the job market outside of academia. PhD research is, in turn, part of this process. It is a training experience that provides you with some basic skills that can be useful across different careers.
So doing research - be it towards an MA or PhD, is a learning curve in which you are allowed to make mistakes and fail to meet minor goals. Do not get depressed and start to doubt your capacity for research. There is nothing wrong with things going wrong. Try to understand where and why something went wrong, so that you learn from your mistakes.
A first step in this direction could be that you ask yourself, as suggested by the Research Council's Graduates School's Programme: