To set the menu items as images, you will have to set up class items for the menu items you want the images to be for and then add the background-image into the css for that particular class.
For example, if my menu looks like this, I have added the link1 class to the Item 1 menu:
<ul class="level-0" id="cssmw">
<li class="parent"><a class="link1" href="#">Item 1</a>
<ul class="level-1">
<li><a href="#">Sub Item 1</a></li>
<li><a href="#">Sub Item 2</a></li>
<li><a href="#">Sub Item 3</a></li>
</ul>
</li>
<li><a href="#">Item 2</a></li>
<li><a href="#">Item 3</a></li>
</ul>
In my css file I have added this:
ul#cssmw > li > a.link1 {
background-image:url(img.jpg);
}
to get the background image to show up.