The prepositions A & DI are added after some verbs before the infinitive. Provare happens to be one of the verbs that uses A. Here's a good list you may like to use: http://italian.about.com/od/verbs/a/aa031908a.htm I believe the only way to really know these is to simply memorize them... Dnovinc gives a great explanation of why it is AD instead of A as well. Hope this helps. Cheers!
"ad" makes no sense. This strikes me as an incoherent sentence..... Perhaps: "Lui prova ad vado in citta'". - as in "He tries, (to do something. Can't, and he gives up) and goes to the city...….. maybe then the word "ad" could make a little more sense? But my brain wasted too much time on a sentence that translated to me: "he tries and TO GOES to the city"...……….. makes no sense. Cosa? E" senza logica a me !!!! :-) Mi dispiace for the rambling.
"provare" requires "a" (it is "ad" in this case as the next word starts with a vowel). "A" is mainly used for subordinates that are somewhat "after" the main sentence: as such the list includes verbs of movement (e.g. andare, venire), preparation (e.g. provare, prendere, mettersi), and hesitation (e.g. esitare, indugiare, tardare). If the main verb has an object, "a" can't be used to refer to the same subject. abituarsi, aiutare, andare, continuare, divertirsi, esitare, forzare, imparare, impegnarsi, incominciare, incoraggiare, insegnare, invitare, mandare, mettersi, persuadere, prepararsi, PROVARE, rinunciare, riuscire, servire, stare, uscire