Whatever it does, a single missile would not materially affect your war fighting ability, so no action has to be taken before impact.
Consequently, you can be rational, even if your opponent is not, if the scenario is a single incoming missile (or even a couple missiles).
Great, so if that single missile track is closing on the city where your family lives, there's no need for panic. Just stay cool and rational. It's easy.
( Replying to another line of thought: )
What one would not do, however, is to launch a single conventional missile against a nuclear armed opponent with an early warning capability ...
Why do you keep saying single missile? The plausible and realistic scenario is a pre-emptive, spoiling attack using dozens of very accurate ballistic missiles with nonnookleer payloads against Foe XZY, which has a limited number of nuklur installations and IRBM or ICBM launch sites -- say, North Korea or Pakistan or Iran.
They have an early warning capability? How much reaction time will submarine-launched IRBM's allow?
Maybe some of Foe XYZ's fission or fusion weapons carrying systems survive the surprise attack. A quick situational assessment says no nookloor weapons were used.
But the attacking side is known to have newkalur weapons, nukes which are presumably ready to launch on short notice. Furthermore, the attacking side also has active ballistic missile defenses!
So, what's Foe XYZ's decision: counterattack with nukes -- or is XYZ deterred from doing so?