add the below code in CMainFrame::OnCreate() function
CBitmap* bitmap1 = new CBitmap;
CBitmap* bitmap2 = new CBitmap;
bitmap1->LoadBitmap( IDB_BITMAP1 );
bitmap2->LoadBitmap( IDB_BITMAP2 );
CMenu* pMenu = 0;
HMENU hMenu = 0;
pMenu = GetMenu();
pMenu = pMenu->GetSubMenu(0);
pMenu->SetMenuItemBitmaps(0, MF_BYPOSITION, bitmap1, bitmap2 );
in case of simple SDI application it will set a bitmap to File->New menu.
do not forget to detsroy bitmap object and delete the memory inside CMainFrame detsructor CMainFrame::~CMainFrame()