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

Example, how to cath error in MSSQL.

BEGIN TRY  
    -- Some code each produce ERROR.  
    SELECT 1/0;  
END TRY  
BEGIN CATCH  
    SELECT  
        ERROR_NUMBER() AS ErrorNumber  
        ,ERROR_SEVERITY() AS ErrorSeverity  
        ,ERROR_STATE() AS ErrorState  
        ,ERROR_PROCEDURE() AS ErrorProcedure  
        ,ERROR_LINE() AS ErrorLine  
        ,ERROR_MESSAGE() AS ErrorMessage;  
END CATCH;  
GO