Take a look at this article
VC++ MFC Tutorial: CListCtrl, InsertItem, Using List Control, SetImageList, Article with source code.[
^]especially Chapter "Using Images":
// Create 256 color image lists
HIMAGELIST hList = ImageList_Create(32,32, ILC_COLOR8 |ILC_MASK , 8, 1);
m_cImageList.Attach(hList);
// Load the icons
CBitmap cBmp;
cBmp.LoadBitmap(IDB_IMAGES_NORMAL);
m_cImageList.Add(&cBmp, RGB(255,0, 255));
cBmp.DeleteObject();
// Attach them
m_MyListCtrl.SetImageList(&m_cImageList, LVSIL_NORMAL);