Click on the menu item.
Click on the obeject properties tab.
On the top, where it says thumbnail, click on the folder and navigate to your image file or just drag an image file from the explorer to the box that shows the thumbnail's path.
What you can do to which is kind of cool is pick a frame (any frame) from the souce video and make it the thumbnail to click on. This is automatic if you use the build in function of creating a menu or can be modified to pick a frame other than the first which is the default.