Will there always be an implicit commit in an RFC?

We have our own developed remote function module with an update of its own tables. No "Commit Work" is issued in the function module.

When (in test) we call the function module, from an ABAP program, we can control it if the updates are committed and rolled back by calling BAPI_TRANSACTION_ROLLBACK.

When we try to roll back the updates from a Windows program, this doesn't work. We have tried to call function "TRANSACTION_BEGIN" in our function and then call the BAPI: "BAPI_TRANSACTION_ROLLBACK" from the windows program, but our own table is still updated.

Is there any way to make a Rollback from Windows from our own developed function module?

Some RFC enabled function modules do an implicit commit. Others don't. It sounds like you have one of the former.