You can add images to menu items. Supply the :image-function initarg when creating the menu, as illustrated in
(example-edit-file "capi/elements/menu-with-images")
Note: on some platforms support for images in menus is limited to menu items without text and/or images without transparency. If pane-supports-menus-with-images returns true, then images are fully supported in menus.
CAPI User Guide and Reference Manual (Windows version) - 25 Feb 2015