Lets see how dumb I feel after I get replies.
$icon1 = FileOpen( @ScriptDir & "\" & "icon1.png" )
_GUICtrlMenu_SetItemBmp( $h_control_menu, 2, $icon1 )
Gives the control an icon, but it's one of those system-default "missing-icon" icons.
Icon1.png is inside the same directory.
bmp, ico, various other formats didn't work, and all I found in the help file for adding an image was:
_WinAPI_CreateSolidBitmap
I'm not sure what format to use, or maybe I'm just missing something.