With Ubuntu 10.04, the way to put icons in menus and buttons has changed. It is not longer in the Interface tab in Appearance Preferences:
Image from http://huang.yunsong.net/data/desktop-interface.png
To add icons to menus and buttons in Ubuntu 10.04 Lucid Lynx, we will use the gconf configuration editor.
Press Alt + F2 to launch the Run Application dialog box.
Gconf editor will open:
Go to Desktop:
Check the box next to buttons_have_icons:
and check the box next to menus_have_icons:
Close Gconf editor.