Question: We are developing an RetailPOS .net (windows) application. 

One of the customer asks 'What will happen to current data being processed in the application when a power went off suddenly?', 'Will the application able to recover the unsaved data?'

I am wondering, how this feature can be included in the .net application? 

Can some help me, what needs to be done for this?

Answer: 
First, look into a UPS (un-interuptable power supply)

Second, look into creating persistent transactions, transactions that will save early and often, but not commit until you tell it to. This goes a little beyond the typical transactions in TSQL.
PowerFailureException class will solve this. Actually just maintain power with a UPS. The only other option really is to maintain atomicity for database transactions.