If you are younger than 30, the general recommendation is to try for a year before you seek professional help; for the 30+ set, six months is the cut-off.
Once you're ready to see a doctor, be prepared for a whole battery of tests and in-depth interviews about your sexual habits. If your physician can't trace your TTC trouble to any problems with your general health, then he will likely want to perform more specific evaluations. These can include an analysis of body temperature and ovulation, x-raying your fallopian tubes and uterus, hormone testing, etc. He may also perform a semen analysis on DH.
All these evaluations will help you decide what the best course of action is, like drug therapies, surgery, or IVF.
In terms of your insurance, do a little digging before you give up on that route. Fourteen states, including California, Illinois, and New Jersey, have laws that require insurers to cover some form of infertility diagnosis and treatment. You can learn more about your state's policy by calling the local Insurance Commissioner's office or by consulting the RESOLVE website.