I do that as a transaction while the connection is open.

For instance (and there's more code than just this, but here's a quick example)

MyConnection = GetSqlConnection(sConnectionString);
MyConnection.Open();
MyCommand = new SqlCommand();
MyTransaction = MyConnection.BeginTransaction();
MyCommand.Transaction = MyTransaction;

// code for the update


// if the update is good...
MyTransaction.Commit();

// if the update didn't work (some kind of error)

catch(Exception e)
{
MyTransaction.Rollback();
}

/// and then close

MyConnection.Close();