Feeling sad is healthy and normal sometimes. With CBT we don't want to change sad events to be happy but we do want to learn to think as positively as possible. If you cannot change the situation and you cannot change your perspective on the situation then acceptance like Galianna is pointing to is your next best option.
Why do you have to pretend to be strong? Could you just be yourself? Could you admit to yourself and to her that you are sad that this unpleasant event has occurred?
I have been trying to keep a thought record. How do I help it if there ia reason for the sad thoughts. I know of a certain event that is going to bring pain to someone that I love deeply. all I could do is pretend to be strong and try and support her through that and I am. How do I challenge my thoughts that are true and indeed sad?