Hera ya go.
#include <GuiMenu.au3>
#include <WinAPIGdi.au3>
#include <WinAPIHObj.au3>
Local $hWnd = GUICreate("Icon Test", 200, 200)
GUISetState()
Local $idContextmenu = GUICtrlCreateContextMenu()
GUICtrlCreateMenuItem("Item 1", $idContextmenu)
Local $Item2 = GUICtrlCreateMenuItem("Item 2", $idContextmenu)
Local $Menu = GUICtrlCreateMenu("Menu", $idContextmenu)
Local $Item3 = GUICtrlCreateMenuItem("Item 3", $Menu)
$hBMP_1 = _WinAPI_CreateSolidBitmap($hWnd, 0xC0C0C0, 16, 16)
$hBMP_2 = _WinAPI_CreateSolidBitmap($hWnd, 0x345345, 16, 16)
_GUICtrlMenu_SetItemBitmaps(GUICtrlGetHandle($idContextmenu), $Item2, $hBMP_1, $hBMP_1, False)
_GUICtrlMenu_SetItemBitmaps(GUICtrlGetHandle($Menu), $Item3, $hBMP_2, $hBMP_2, False)
While GUIGetMsg() <> -3
WEnd
_WinAPI_DeleteObject($hBMP_1)
_WinAPI_DeleteObject($hBMP_2)