By default, when a new item is added to the menu no image is associated. Use the Image property to associate an image to an item. 

The following sample shows how to add an item:

With PopupMenu1.Items
.Add("Auto saving", Default, 1234).Image = 0
End With

The following sample shows how to simulate an item of check type using your own images:

Private Sub Form_MouseUp(Button As Integer, Shift As Integer, X As Single, Y As Single)
    If (Button = 2) Then
        Dim nID As Long
        nID = PopupMenu1.ShowAtCursor
        If (nID = 1234) Then
            PopupMenu1.Command(1234).Image = (PopupMenu1.Command(1234).Image + 1) Mod 2
        End If
    End If
End Sub