I make a negative sentence like this:
They are not trying to make me confuse.
or
They are trying not to make me confuse.
What is the difference between these two sentences?
First, your usage of confuse
as an intransitive verb is wrong. You can instead do one of:
... to make me confused
... to make me confuse something
... to confuse me
As for the negation, changing the word order changes which part you're negating:
They are not trying to make me confused.
They are trying not to make me confused.
The implication is that (assuming the context is that they are explaining something)