My plum tree is infested with aphids I sprayed it really good with a soap
insecticide but did not help.
I far as I can tell it's aphids (small green bugs). The tree has lots
of
sticky leaves and some webs on the leaves.
What else can I try?

For the aphids you might want to try lady beetles. Wait until evening, even
better if the leaves are wet, then let the lady beetles out all over the
tree. They'll clean it up of aphids in no time flat -- I've let a few
batches out in our garden here and although we get aphids from time to time,
they never seem to last very long.

The webs and sticky leaves may indicate another problem however -- aphids
leave neither in their wake. This makes me wonder -- are you certain you
actually have aphids? As someone else mentioned, these are symptoms of
spider mites. Some spider mites look a bit close to aphids and depending on
your familiarity with aphids you might mistaken them.

I just did a quick Yahoo search on "plum tree spider mites" and it came up
with a number of decent links. One, from the Utah State University, has a
couple of good pics as well. The site is at
http://extension.usu.edu/publica/gardpubs/orchard/6.pdf if you'd like to
view it. I'm sure you'll find similar information elsewhere.

Hope this helps!

James