Two options for executing transaction in MSSQL, each rollback by error.

First option:

BEGIN TRY
    BEGIN TRAN
    UPDATE 1
    UPDATE 2 --Error
    UPDATE 3
    COMMIT TRAN
END TRY
BEGIN CATCH
    ROLLBACK TRAN
END CATCH

Second option:

SET XACT_ABORT ON
BEGIN TRAN
UPDATE 1
UPDATE 2 --Error
UPDATE 3
COMMIT TRAN

Both examples will done same actions, in case of error it will rollback transaction.