The menu items have an http://msdn.microsoft.com/en-us/library/system.web.ui.webcontrols.menuitem.imageurl.aspx property that you can set to the URL of the image:
<asp:Menu ID="Menu1" runat="server">
<Items>
<asp:MenuItem ImageUrl="~/images/image.gif" Text="Menu Item AAA" />
...
You can set this in the markup code (as shown above) or in the
designer, by right-clicking the menu and selecting "Edit Menu Items..."