Why is it that a minor chord gives a feeling of sadness or despair; is this learned or is it inherent in our make-up.

The association is most probably learned. I can't be sure though, I haven't seen any studies on it..

I think it is mostly learned. That said, I believe there is also an inherent quality to it that causes us to feel downbeat or somber. It has something to do with the way the individual notes interact and how this interaction is interpreted by our ears/mind. The minor chord has a slightly more dissonant tone than a major one--which causes thoughts to "trip up" or slow down. A major chord is more like a birdsong--more natural and harmonic.

Do any of you play a musical instrument?

I don't.

One of the first things you hear if you're a kid learning to play is the big difference between major and minor (and diminished, augmented, etc). There's also a perfect interval, which is straight from medieval (religious) ideas of harmony and its place in the world.

I think infants are known to respond differently to the maj/min difference (the 'echo' they set up in our brains).

I'm sure it is cultural. Other cultures have other modalities, where major/minor is not a paradigm. Look at klezmer music and the whole catalog of Eastern European Jewish folk music. People joke that since it's all in minor keys it indicates that the Jews were a sad people. I think they just did not express happiness and sadness in their modalities the same way we do.

Some of the saddest classic country & western songs, including "Cold Cold Heart," "The Wild Side of Life," "The Key's in the Mailbox," and "Me and Bobby McGee," don't contain a single minor chord.

Major and minor are relatively recent developments. It appears that much of ancient music was limited to the pentatonic scale.

Early Asian stuff was a continuous scale, or microtonic. Still is.

Some of the saddest classic country & western songs, including "Cold Cold Heart," "The Wild Side of Life," "The Key's in the Mailbox," and "Me and Bobby McGee," don't contain a single minor chord.They do the way I play them.;)

They do the way I play them.;)Me too, but the point is that the originals got the feeling across without them. (Well, I've never been able to work a minor chord into "Cold Cold Heart.")

Bollocks. It doesn't give me a feeling of sadness or despair, anyway. I like the sound of minor chords.

How about Tschaikowski? That "October' isn't exactly uplifting, or Rachmaninoff - he gets pretty dark.
It depends if the minor chords are countered, or not. If the whole thing is played in a minor scale, it evokes melancholy, for sure.