Delphi shell context-menu, how to draw icon
It seems you can simply use the SetMenuItemBitmaps API.
Edit: Here's a Delphi example.
Edit 2: Warning: I just noticed that the Delphi example leaks the bitmap handle and will probably crash the system eventually. The bitmap should be loaded only once in the constructor of the object (and better from its own resource, not from the file system) and released in the destructor.