To be able to use images in the list object you need to use the image list object, too. The images are managed by the image list object and will be accessed through indices.
First, add the image list object to your project and load an image that contains all icons. The height is autocalculated from the provided image and you select the width of each icon through a property (e.g. an image with 128x16, property set to 16, results in 8 icons 16x16 accessible as index 0 to 7)
Then add the list object, link to the image list object and assign image indices to the items.
+ System: Start of layout
-> List: Set image list to ImageList
-> List: Insert column 1 with text "Help" width 128
-> List: Insert column 2 with text "Me" width 128
-> List: Insert item "This" at -1 (image 0)
-> List: Insert item "works" at -1 (image 1)
-> List: Insert item "fine" at -1 (image 2)
This would show the first three icons found in the image list object, assigned to the first three items of the list object
EDIT: I should start writing less text to not be ninja'd anymore <img src="smileys/smiley4.gif" border="0" align="middle" />