How does SAVE TRANSACTION work for MS SQL Server

I need to use some sort of nested transaction.  I tried using a TADOCommand
to execute the command text "SAVE TRANSACTION savethis" and then execute
"ROLLBACK TRANSACTION savethis" to roll back just this part of a longer
transaction.  I do not get an error from the first command but the second
command fails because SQL Server has no transaction named savethis.

How do I get this sequence to work?

Alan Freiden