Lo puedes hacer con la función API SetMenuItemBitmaps:
BOOL SetMenuItemBitmaps(
HMENU hMenu, // handle to menu
UINT uPosition, // menu item
UINT uFlags, // options
HBITMAP hBitmapUnchecked, // handle to unchecked bitmap
HBITMAP hBitmapChecked // handle to checked bitmap
);
Ejemplo:
HBITMAP hB=LoadBitmap(hInstance,MAKEINTRESOURCE(IDB_MIBITMAP));
SetMenuItemBitmaps(hMenu ,CM_EXIT ,MF_BYCOMMAND,hB,NULL);