As far as I know, there is no actual feature in the menu to allow you to do this. But there are two work arounds that I can think of.
First you could use the image option that is available in the menu. I.E...
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aI("text=Search;url=http://www.google.com/;target=_blank;image=images/xpsearch.gif;");
This would place the image to the left of your text in the menu item. So you could put an image in the 2nd through n menus, to get a separating effect.
The other option is to put the image code right into the text label of your menu item. I.E....
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aI("text=Search<img src='images/xpsearch.gif' border=0>;url=http://www.google.com/;target=_blank;");
And like I said above, arrange them so you get the right effect. Hope this helps!