iwannarock is right. It (at least the video clip anyway) was based on a short story called "without you" by james del, although some parts were altered, many stayed the same. (e.g. just as in the novel, the girl dies from a shotgun wound to the head, that's why you see the mirror in the coffin, because the other half of the face was probably blown away).
Anyway, i think the trilogy of songs (don't cry, november rain and estranged) deal moreso with love and relationships than death and tragedy. Whenever i hear november rain, i think of a strained relationship or a tragic love song...like you love that special someone but being afraid to love them at the same time because you need time to figure yourself out first. Whenever you try to love them you just end up walkin', in the cold november rain.