Even if you have, try to say NO, if you have applied and failed for one. Do not let them know you failed it. They will make a note of that in you're application form that "Company x" did not take you in. They will also ask you on what basis you weren't successful and note this down too. However what you could also do, is say you have applied for others and that you were successful (even if you weren't), this will make you a desirable candidate.