Use a GridViewImageColumn. Here is a help article on how it works and how to add it:
http://www.telerik.com/help/winforms/grid_gridviewimagecolumn.html
you can set image of GridViewImageColumn like this:
if are are using RadGridView_CellFormatting event, the code will be:
e.CellElement.RowInfo.Cells["MyGridViewImageColumnUuniqueName"].Value
= imageList1.Images[indexOfTheImage];