I can totally relate. You put a lot of time and care into your character, and for the duration that you spend playing the game as that character, it becomes an extension of you, a manifestation of an aspect or two of your own personality. Unless you are playing a character through just to see what it's like, you are likely playing a character that you enjoy, which means it's something that it represents some part of you. Our actions define our character, and our character's action define them, and therefore us. So that guard wasn't insulting your character; he was insulting
you. Or, at least, that's the perception of a good rp-er.

I played an altmer battlemage char my second go-around, and got fed-up with a lot of people bashing elves. Instead of getting angry at them, though, I took into account that a lot of altmer were acting like douches, and so it made me strive to be better than them. It could have made me angry enough to go on a killing spree, though, but I chose to channel it differently.
In response to someone's reply, yes, it is a game, ultimately. If it makes you so mad you can't think straight or calm down enough to function well in IRL (which didn't seem like an actual problem you were experiencing), then maybe think about it a bit before playing, or spend less time in a play session. If you're not having that issue, then congratulations! You are a true roleplayer, through and through! Rejoice, and slaughter many foes of the noble Khajiit.
