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.
What you really want are atomic on disk transactions. There are many ways to perform these, but often times if you are using an existing database product it will be done for you.

If you rolled your own database or file formats, you have some work cut our for you depending on your file format.