SetTitleBitmap2 is the correct method to use to display an icon in the title bar of the Property Manager page. That method takes the full path of the icon file as a parameter. So for example if my icon file was located in:
C:\Users\me\Documents\Visual Studio 2010\Projects\CustomPMP\CustomPMP\Bitmap1.bmp
then I would call SetTitleBitmap2 this way:
ppage.SetTitleBitmap2("C:\Users\me\Documents\Visual Studio 2010\Projects\CustomPMP\CustomPMP\Bitmap1.bmp")
where ppage is the property manager page. I would declare it as:
Dim ppage As PropertyManagerPage2
My problem is that I had not the proper icon size, my icon was 24x24, I resize it to 16x16 and now it works.