You can add custom icon without jQuery and it can be develop with css.
Here is some code for your query.
<ul>
<li><a href="photo_gallery.html">Photo Gallery</a></li>
<li><a href="download.html">Download</a></li>
<li><a href="enquiry.html">Enquiry</a></li>
</ul>
There is a some css trick for individual icon as well.
If you need sepreate icon on each li then you have to create another class as well.
.leftGreen li {
margin: 0 5px 0 0px;
padding: 2px 0 2px 30px;
background: url(../images/bullate.gif) no-repeat 0 7px;
border-bottom: #FFFFFF 1px dashed;
}
Bellow css is for new icon as per another icon
<pre lang="css">.leftGreen li.new-icon {
margin: 0 5px 0 0px;
padding: 2px 0 2px 30px;
background: url(../images/new-bullate.gif) no-repeat 0 7px;
border-bottom: #FFFFFF 1px dashed;
}</pre>