There is nothing wrong with wanting to be happy. I don't think anyone should get up in the morning and say, "My goal today is to be a depressed person." It is fine if you want to be happy, but if you are living to be happy, you never will be happy. In fact, you will find the people who chase after happiness are the least happy people around.
Here is what it comes down to: if you want to be happy, then seek to be holy, and happiness will come as a byproduct. Seek to be holy. Seek to be like Christ, because God said, "You shall be holy; for I am holy" (Leviticus 11:44). But also seek to live wholly for Christ. Seek to be like Christ and live for Christ. And as you live a wholly holy life, you will find that you are a happy person as a result.
If you will lose your life for Christ's sake, He says that you will find it. But if you live for your own selfish ambitions, if you feel that you are the center of the universe and everything has to revolve around you and everything has to be about you, then you will be miserable. And the people around you will be miserable too.
On the other hand, if you put God first and put others first, then happiness will come as a byproduct. That is what Jesus says to each of us: "If anyone desires to come after Me, let him deny himself, and take up his cross, and follow Me. For whoever desires to save his life will lose it, but whoever loses his life for My sake will find it" (Matthew 16:24–25). If you want to find yourself, then lose yourself. Put God first.