If by retaining bolt you mean the small flat head screw that holds the rotor on to the hub when the wheel is removed I never had one of these screws break.
To remove a stubborn one -- before you rough the tool bit hole up -- Pedro's suggestion using an impact driver is a good one. Years ago I used one to remove stubborn screws from motorcycle engine cases.
When I did my Boxster's brakes I didn't have an impact driver. I used a hammer and a small flat head punch to just tap the head enough to break it loose so that it came right out. I had a good philips screw driver -- Snap On -- with good tip and treated to not be slick.
When I put the new screw in I only tightened it until it was snug, with the rotor having no play. I can't recall now if I used any anti-seize on it or not. I kind of think I did. Might mention if I did this is in the only place I used anti-seize when putting in new brake hardware.
It is important to use new screws. When I did my Boxster's brakes I'd get a new brake hardware kit that included new screws and other brake hardware. I would also replace the caliper bolts with new ones. I did *not* use anti-seize on these.