A socio-constructivist account of learning and emotions stresses the situatedness of every learning activity and points to the close interactions between cognitive, conative and affective factors in students' learning and problem solving. Emotions are perceived as being constituted by the dynamic interplay of cognitive, physiological, and motivational processes in a specific context. Understanding the role of emotions in the mathematics classroom then implies understanding the nature of these situated processes and the way they relate to students' problem-solving behaviour. We will present data from a multiple-case study of 16 students out of 4 different junior high classes that aimed to investigate students' emotional processes when solving a mathematical problem in their classrooms. After identifying the different emotions and analyzing their relations to motivational and cognitive processes, the relation with students' mathematics-related beliefs will be examined. We will specifically use Frank's case to illustrate how the use of a thoughtful combination of a variety of different research instruments enabled us to gather insightful data on the role of emotions in mathematical problem solving.