How to make SET XACT_ABORT ON rollback the transaction?

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Based on the Books Online documentation of SET XACT_ABORT ON, i get the impression that if a T-SQL statement raises a run-time error, the entire transaction is terminated and rolled back:

Remarks

When SET XACT_ABORT is ON, if a Transact-SQL statement raises a run-time error, the entire transaction is terminated and rolled back.

Testing this in SQL Server 2008 R2:

SET XACT_ABORT ON;
BEGIN TRANSACTION;
PRINT 'TranCount befor an error = '+CAST(@@Trancount AS varchar(50))

DROP TABLE QuertyAsdf

PRINT 'TranCount after an error = '+CAST(@@Trancount AS varchar(50))

Gives the output:

TranCount befor an error = 1
Msg 3701, Level 11, State 5, Line 6
Cannot drop the table 'QwertyAsdf', because it does not exist or you do not have permission.
TranCount after an error = 1

i was also under the impression that SET XACT_ABORT ON terminates the batch if there's an error:

SET XACT_ABORT ON instructs SQL Server to rollback the entire transaction and abort the batch when a run-time error occurs.

That sounds handy. How can i make it do that too?

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