The example sets the ColumnHeaderIcons property an ImageList control, then sets the Icon property to the Key of a ListImage object.
Option Explicit
Private Sub Form_Load()
' Assumes an ImageList control populated with at least one image.
Dim c As ColumnHeader
Dim i As Integer
For i = 1 To 4 ' Create four ColumnHeader objects.
ListView1.ColumnHeaders.Add , , "Col " & i
Next I
ListView1.View = lvwReport
ImageList1.ListImages(1).Key = "Key1" ' Set Key property of ListImage.
ListView1.ColumnHeaderIcons = ImageList1
For Each c In ListView1.ColumnHeaders
c.Icon = "Key1"
Next
End Sub