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for i:=0 to 25 do begin
    s:=Chr(i+65)+':';
    typ:=GetDriveType(PChar(s));
    if (Typ<>0) then       
      case Typ of
        DRIVE_FIXED:CheckListBox1.Items.Add((Chr(i+65)+':\'));   //HDD
        DRIVE_REMOTE:CheckListBox1.Items.Add(Chr(i+65)+':\');  //Network
    end;
  end;					

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  Bitmap1:=TBitmap.Create;
  Bitmap1.LoadFromFile('faild.bmp'); 
  CheckListBox1.Items.AddObject('Bitmap 1', Bitmap1);
....
procedure TForm1.CheckListBox1DrawItem(Control: TWinControl;
  Index: Integer; Rect: TRect; State: TOwnerDrawState);
var
  Bitmap:TBitmap;
  Offset:Integer;
begin
  offset:=0;
  with CheckListBox1.Canvas do
  begin
    FillRect(Rect);
    Bitmap:=TBitmap(CheckListBox1.Items.Objects[Index]);
    if Bitmap<>nil then
    begin
      //copy bitmap to combobox coordinate
      BrushCopy(Bounds(Rect.Left+2,Rect.Top+2,10,10),Bitmap,Bounds(0,0,10,10),clred);
      Offset:=10;
    end;
    //Set a caption to each item
    TextOut(Rect.Left+Offset,Rect.Top,CheckListBox1.Items[Index]);
  end;
end;