Here is what Joomla provides for cases like this:
In Menu Manager -> Menu Item Edit
Editing each menu item, you will see the "Link Type Options" section at the right column.
See screenshot:
As you see in the screenshot, this group of settings contains the follow options:
Link Title Attribute : You can add your custom Title attr to the menu item's a tag.
Link CSS Style : You can add a custom css class for this menu item's a tag.
Link Image : You can add a custom image for this menu item.
Add Menu Title : If you add an image, you can choose to hide the Title of the link (setting = No), or choose to show both Image and the title (setting = yes (default)).
For you case, you can either choose you custom images-icons that should be displayed next to your menu items title. If you want bolds or other styling options, you can add your custom css rules to the items you want, and then add your css styles at your template's css.
For example you have decided that for some of your menu-items you would want their text in bold. Then you could do as follow:
1 .Give them a css class to all of them, in the Link CSS Style field: e.g. 'bold-items' (without the '').
2. Open your template's css file with a plain text editor and add the following rule at the end of the document:
.bold-items {
font-weight:bold;
}
Notice: The above settings might have no effect at all, if you are using a 3rd party menu module, or your template contains overrides for the default menu module. In such case you will need to add further template overrides for the menu module in use, in order to implement the above settings.
*Not sure what you mean with menu item header and how you did try to add html-code to it.
*Update / Answer to your comment:
You never mentioned about video in your question. You asked about adding icons and making text bold. What do you mean with headers and what kind of code and where are you trying to insert it? Are you aware of what is involved in the process from the moment you create menu items in the menu manager till you see those in the front-end of your website?
Following my answer above and assuming you have basic knowledge of the workflow (menu module, template overrides, css) you will be able to add images/icons or custom styles for each menu item. If you want to have video inside your menu, then you...
... will need a more sophisticated menu module. These are called Mega Menus and allow the user to display various types of content inside their menus, like modules, in various ways. You should either install a such module or create one on your own.
