"All good things come in threes." :)
The basic idea is that you have the "actual" sentence, the basic one that serves as the frame, and also a phrase that contains "zu". This "zu" phrase is a unit and does not like to mingle with the "frame sentence". Like a pearl in an oyster.
A "zu" phrase is called an "Infintivgruppe" ("infinitive group") in German.
The "zu" phrase is formed as Lee stated. In the easiest case, you have just "zu" + infinitive. "zu gehen", "zu sprechen". With seperable verbs, it goes in the middle: aufstehen -> aufzustehen. And if you want to add an adverb or object, those come in front: "to walk slowly" -> "langsam zu gehen".
This order and structure is not affected by the higher level sentence / main sentence, and for almost every case, no elements of the higher level sentence can slip in. But the "zu" phrase takes a grammatical function in the higher level sentence.
First of all without an infinitive group: "Lesen ist mein liebstes Hobby."
If I replace the subject, "Lesen", it looks like this:
"Bücher zu lesen ist mein liebstes Hobby."
"Reading books is my favourite hobby."
Infintive groups appear in many different situations. Let's return to the "probieren, etwas zu tun" issue.
"Ich versuche etwas."
"Ich versuche, den Kuchen (mit Sahne) zu verzieren."
"I try to ornament the cake (with cream)."
This one has even two objects. Those have no relation to the "versuchen"! "Versuchen" only has a relation to the infintive group as a whole. "Ich versuche X."
Now with past tense, since you asked for it.
"Ich habe etwas versucht." This is the normal order for a main clause. It's correct to say,
"Ich habe den Baum zu fällen versucht".
But this structure may seem complicated, because while you read/hear the infinitive group, you need to guess that later a "versuchen" will come. So we ususally push the inner part to the end of the sentence. (But it has to be moved completely and unchanged.)
"Ich habe versucht, den Baum zu fällen."