Despite the fact that Operations Research (OR) or Management Science (MS) has broad applicability, from health care to logistics to financial services, career opportunities and work styles, there is a lack of research done in cognitive processes with regard to problem solving in this area. This study investigated the cognitive processes used by Malaysian undergraduate business degree students (MUB students) in solving the ill-structured and well-structured MS/OR problems. Further investigation was conducted to probe the roles of problem solving in well-structured and ill-structured problems on individual decision making. In-depth observations and interviews were conducted on six willing participants. Results of the study reveal that the performance of well-structured problems was independent from the ill-structured problems. However, there were differences in the cognitive processes of solving well-structured and ill-structured problems. Results of the study also found that approaches to solving well-structured and ill-structured problems influenced the individual's decision making outcomes. Arising from these findings, an algorithm has been proposed in an attempt to improve the cognitive processes of students in solving MS/OR problems as well as the quality of decision making. The findings have implications for the development of effective MS/OR related subjects.