Hi there,
First I will assume you used the Symbol Builder tool in which case a symbol and an Icon have been created. Then use the Icon Menu Wizard and select which menu you want to add to. For this example I select Schematic Component. The NAME is what will appear under the Icon in the Menu. Use the Image File Browse button to traverse to the icon (png or sld) file to add the Icon. Use the Block Name Browse button to traverse to the symbol you want the Icon linked to.
Good luck