8
Strange!
Please check this (an example with module news):
1. Are the gifs called news.gif and news2.gif in the first level of the news folder?
2. Is the name of the news module in modules administration called "news"?
3. Did you make the changes for the template in the templates manager in the admin area?
4. Will changes to themes/templates be refreshed on change? To be set in administration / preferences / general settings.
Point 1 to 3 you have to repeat for every single module that will appear in the main menu. The code I provided is for images ONLY in main menu, but you can mix techniques.
Look at
http://www.florys.org as a living example.