CComboBoxEx

// .h
CImageList m_ImgList;
CComboBoxEx m_ComboEx;

// .cpp
CBitmap bmp;
bmp.LoadBitmap(IDB_IMAGELIST);

m_ImgList.Create(16, 16, ILC_COLOR24, 7, 7);
m_ImgList.Add(&bmp, RGB(255, 0, 0));
m_ComboEx.SetImageList(&m_ImgList);

CString strTmp;
COMBOBOXEXITEM cbi;
::ZeroMemory(&cbi, sizeof(cbi));

cbi.mask = CBEIF_IMAGE|CBEIF_SELECTEDIMAGE|CBEIF_TEXT;
for (int i = 0; i < 7; i++)
{
  strTmp.Format("%dth Item", i);

  cbi.iItem = i;
  cbi.iImage = i;
  cbi.iSelectedImage = i;
  cbi.pszText = (LPWSTR)(LPCTSTR)strTmp;

  m_ComboEx.InsertItem(&cbi);
}