Set ErrorActionPreference on all powershell scripts and add explicit error checks.

scripts/install_deps.ps1

@@ -1,3 +1,5 @@
+$ErrorActionPreference = "Stop"
+
 # Needed for Invoke-WebRequest to work via CI.
 $progressPreference = "silentlyContinue"
 
@@ -12,4 +14,5 @@ tar -xf boost.zip
 cd boost_1_74_0
 .\bootstrap.bat
 .\b2 -j4 -d0 link=static runtime-link=static variant=release threading=multi address-model=64 --with-filesystem --with-system --with-program_options --with-test --prefix="$PSScriptRoot\..\deps\boost" install
+if ( -not $? ) { throw "Error building boost." }
 cd ..