Ho risolto in questa maniera:

Private Sub Form_Load()
'*************************************
Dim hMenu As Long, hSubMenu As Long, hSubMenu1 As Long, hSubMenu2 As Long, hSubMenu3 As Long
'get the handle of the menu
hMenu = GetMenu(Me.hwnd)
'check if there's a menu
If hMenu = 0 Then
MsgBox "This form doesn't have a menu!"
Exit Sub
End If
'get the first submenu
hSubMenu = GetSubMenu(hMenu, 0)
hSubMenu1 = GetSubMenu(hMenu, 1)
hSubMenu2 = GetSubMenu(hMenu, 2)
hSubMenu3 = GetSubMenu(hMenu, 3)
'check if there's a submenu
If hSubMenu = 0 Then
MsgBox "This form doesn't have a submenu!"
Exit Sub
End If

SetMenuItemBitmaps hSubMenu, 0, MF_BYPOSITION, Picture2.Picture, Picture2.Picture
SetMenuItemBitmaps hSubMenu, 1, MF_BYPOSITION, Picture3.Picture, Picture3.Picture
SetMenuItemBitmaps hSubMenu, 2, MF_BYPOSITION, Picture4.Picture, Picture4.Picture
SetMenuItemBitmaps hSubMenu, 4, MF_BYPOSITION, Picture4.Picture, Picture4.Picture

SetMenuItemBitmaps hSubMenu1, 0, MF_BYPOSITION, Picture2.Picture, Picture2.Picture
SetMenuItemBitmaps hSubMenu1, 1, MF_BYPOSITION, Picture3.Picture, Picture3.Picture

SetMenuItemBitmaps hSubMenu2, 0, MF_BYPOSITION, Picture4.Picture, Picture4.Picture

SetMenuItemBitmaps hSubMenu3, 0, MF_BYPOSITION, Picture5.Picture, Picture4.Picture
SetMenuItemBitmaps hSubMenu3, 1, MF_BYPOSITION, Picture5.Picture, Picture4.Picture
end sub

Alla Grande proprio aho....

Grazie per l'aiuto SEBAMIX.... TNX'S