Action rows don't currently support icons, but you could try customizing the
visUIObjSetCntx_DrawObjSel menu and add an icon using the FaceID or
IconFileName properties. Several new Action row properties are supported in
the upcoming Visio 2003 version, so you might want to try out the Beta to
see if that would handle your requirements: http://www.microsoft.com/Office/Preview/visio/