It definitely does not mean research isn't for you. Research is hard, and it takes some getting used to. Your experiences sound normal, and it will indeed get better. Part of the problem is that it's tempting to focus too much on the destination: proving theorems, writing papers. These things happen only occasionally, and thinking about them (or their absence) too much is an easy way to become depressed. Instead, you want to reach the point of enjoying the journey itself.
