Try not to. The general rule is "Do not split an infinitive." That means that no words can go between "to" and the following verb. You will read in some books that the rule must be obeyed without exception in all cases. You will read in other books that the rule is foolish and can be disobeyed. You will read in other books that the rule should be obeyed when a negative word (like not or never) would come between to and the verb, but that in other cases the rule may be disobeyed. My recommendation is to obey the rule when you can, but to recognize that there is sometimes no way to avoid splitting the infinitive, especially in more complex sentences.

TRY NOT TO

Both are correct and acceptable and, some cases, there may be subtle difference in meaning depending on where the 'not' is placed. The more usual construction is 'try not to', and that's the one I'd recommend you use - especially in grammar tests. It is not incorrect to say 'to not try', but a narrow-minded teacher might mark it wrong.