I tryed hard to get a icon on menus,unfortunatly the .Net does not gives built in support to add a icon on menu.I found one nice article on msdn.

You need to create custom menu control for this. 

For more information check the url

http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dnaskdr/html/askgui11062001.asp

Happy coding..........

-Suresh, Microsoft MVP .Net