The "standard" way is to OwnerDraw your own derived MenuItem. Since that's nasty and requires a lot of individual drawing operations, the cleaner but slightly more complicated solution is to use an IExtenderProvider, as shown here and here. Additionally, you could also use a third-party menu control. There are many cheap (< $100) GUI object suites out there, if you're working on a minimal budget. Or if you're on a big project, there's the big names like Infragistics and Syncfusion.

The new *MenuStrip controls in .NET 2.0 let you add images, and are more powerful than the old menu controls.