You want to prove that trees lower air temperature under the leaves because of the shade. You stand under a tree, hold out a thermometer under the shade for a few minutes and record the air temperature. You then move to an open area where there are no trees and you take the record air temperature. What is the experimental set up?

The experimental set up contains the variable that you are attempting to test.  Based on the information given, it seems that the hypothesis is stating that tree shade creates lower air temperatures.  From that hypothesis, an experimenter could predict the following:  "If the thermometer is held under the trees in the shade, it will display a lower temperature than in the sunlight."  
Because the experimenter is testing the effect of shade on temperature, the shade is the variable.  That makes any measurements done in the shade part of the experimental set up.  Those measurements will be compared to temperature measurements from the control set up.  The control set up will not contain the variable being tested.  In this case, any measurements done in direct sunlight (no shade) are part of the control set up.  
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