Starting at the end of the fourth book
Hermione and Ron were devastated. They could see no hope, no way to carry on. Their greatest, loyalist and most amazing friend had been murdered by Voldemort when the Portkey that was the Triwizard cup took Harry and Cedric to that despicable graveyard. Cedric Diggory came back clutching Harry's body, panting, bleeding and crying over the loss of one of the finest boys the wizarding world has ever seen. As he escaped through use of the Portkey, a knife was thrown stabbing him in the heart as he Portkey-ed away. Despite being just minutes away from death when he appeared back at Hogwarts, he still managed to die in his proud father's arms- a sight that still brings tears to any witness of the scene.
None of the Dursley's attended Harry's funeral. When Dumbledore made that sad, heartfelt visit to Number 4 Privet Drive, nothing touched him more than the look Petunia gave him as he handed over a share of Harry's Gringotts wealth, Harry's clothes and a vast selection of wizarding sweets and goodies to help ease the pain. Although they appeared nonchalant on the outside about the whole event, they each felt heartache. The Dursley's, especially Petunia, had grown fond of the boy and had often wish he show them some magic to help with the chores.
Surprisingly, a third year named Romilda Vane was more openly saddened than anyone could have expected. Neither Ron, Hermione, Ginny, Fred or George had ever heard of her, so when they questioned her as to her obvious portrayal of sadness, she was forced to admit that she was so madly in love with Harry that that she stole his underwear simply to smell it. Naturally, the 6 were disgusted by this and they never spoke to her again.
This whole turn of events posed a difficult decision for Dumbledore. Obviously Harry had been spoken about in the Prophecy, it fitted perfectly, but Voldemort must see himself having a greater enemy. Had Voldemort's greatest enemy be there, Voldemort would be at large. (This is Dumbledore we're talking about, he knows about potions which could raise Voldemort up again into human form) "Voldemort isn't dumb either" Dumbledore mused "The six O's he gained while here prove that, and his exquisite knowledge of Divination" Yet more musings occurred.
"He knows that to make him as strong as possible he would require the blood of his archenemy." Cedric had also spoken of someone "killing the spare" in his last few moments alive, so if Harry was killed, surely he was unimportant- but the prophecy? All this was very confusing to Dumbledore, and it took him many days of pondering and pacing up and down his office to come up with a logical and possible answer to this conundrum.