Ask questions, or do experiments (which is just a way of asking questions without involving other humans). Usually when a problem is confusing, it is because something important about it is not known. So, get more information.

"Oh, neat."

Unless it's an uninteresting problem or unrelated to my skillset/job. Then it's more of a "Dammit I hate programming because I keep having to solve unrelated problems so I can program."

This means war!

I actually get somewhat worked up at times but generally the more it winds me up the more i want to bash its face in with a solution