icons on windows

Hello,
I am using ocaml, lablgtk2, and forked cross-environment mxe to produce 
a native program on windows (with static bindings to gtk2). The 
executable is 32Mo, and includes everything inside. This works well, but 
I have a problem : icons in menus are not available : instead of having 
a door drawn next to the "Exit" button, it gets an uggly "unavailable" 
icon. (but it works on linux)
How to solve this? Where shall I get the icons ? Where shall I put them 
? How can I tell gtk2 to look into the good directory?

Regards,
William