What if we skip the slave by counter 1 when it failed at event 1 of a transaction which has events 2 and 3 We have a master-slave replication which has all Innodb data. 

I ran 3 update statements under one transaction on master.

 =============
 start transaction
 update T1
 update T2
 update T3
 end transaction
 =============


Through replication,these went on to slave.

With some error, replication stopped while executing first update(update T1) on salve.

Now if we issue set global sql-slave-skip-counter=1 on slave and start slave, will it skip update T2 and update T3 also ?

NOTE: All tables T1, T2 and T3 are Innodb tables

Thanks in advance.
Correct, skipping skips the transaction - not the statement - and that is why it is better to investigate the failure than blindly skipping. 

You should use pt-table-checksum and pt-table-sync to resolve drift after a skip since you will likely have diverged.