Tanya, there is a quote, "it is better to die and have loved than to live and never love" or somethin like that. Not only when you get a pet and they fill your life with love, you fill their life with love too. Rocky is probably in heaven right now, because All Dogs Go To Heaven! Maybe it would help a little to think about how happy he must be right now, and he's probably thinking about you. Think about all the good times you had together, and what he did that made you laugh. Eat ice cream too. But not too much. Cuddle with your furkid and be thankful for him, because he is still with us. And telling everyone helps too. Feel better soon!
And what to do with his ashes, sprinkle them a little at a time where he loved to play outside most, or bury them under his favorite tree with his toys in the backyard and plant lots o flowers on it.