procedure TForm1.FormCreate(Sender: TObject);
var
  Icon: TIcon;
begin
  Icon := TIcon.Create;
  Icon.LoadFromFile('C:\Program Files\BorlandImages\CONSTRUC.ICO');
  ListBox1.Items.AddObject('Item 0', Icon);
end;

procedure TForm1.FormDestroy(Sender: TObject);
begin
  ListBox1.Items.Objects[0].Free;
end;