Nesting allows one transaction to initiate other transactions. These nested transactions are initiated using the Begin( ) method of the Transaction object, which returns a reference to a new transaction object. However, rolling back this transaction rolls back only the nested transaction and not the entire transaction.
Nested transactions aren't supported by the SQL Server .NET data provider although savepoints can be used with that data provider to accomplish a similar result. The OLE DB provider for SQL Server also doesn't support nested transactions.