Please have a look at the following article, it uses .NET 4.0 it to create Windows Shell Extensions using the SharpShell nuget package.
NET Shell Extensions - Shell Context Menus
Using this library, you can set the image directly while creating the contextmenustrip as shown below
protected override ContextMenuStrip CreateMenu()
{
// Create the menu strip.
var menu = new ContextMenuStrip();
// Create a 'count lines' item.
var itemCountLines = new ToolStripMenuItem
{
Text = "Count Lines...",
Image = Properties.Resources.CountLines
};
// When we click, we'll count the lines.
itemCountLines.Click += (sender, args) => CountLines();
// Add the item to the context menu.
menu.Items.Add(itemCountLines);
// Return the menu.
return menu;
}