Hi Mats,
You can include icons using the page icon feature or using custom menu css classes. None of the included skins use either but the processes aren't difficult.
To use the page icon feature, open your style.css and remove .pageicons {display:none;} and open your stylemenu and make sure you don't have a display: none; on a selector for img elements (something like .AspNet-Menu a img {display: none;}). This will be different depending on the type of menu so you'll have to look through your file to find it. Once you have the display: none stuff out of the way, for each page, open the page settings and set the icon to an icon you want to use. If you have custom icons, put them in the Data/SiteImages/FeatureIcons directory. You'll probably need to customize your CSS to position the images properly within your menu.
To use the custom menu css classes, create css to position background images on the menu items and then use the page settings (Custom Menu CSS Class) to set each page with the proper icon.
Fire back if you need more details.
HTH,
Joe D.