I tried the followinng simple code. Do you see any mistakes (because
sendmessage returns 1, but nothing happens - no overlay image is
set) ?:

   [StructLayout(LayoutKind.Sequential)]
   struct LVITEM
   {
       public uint mask;
       public int iItem;
       public int iSubItem;
       public uint state;
       public uint stateMask;
       public string pszText;
       public int cchTextMax;
       public int iImage;
       public int lParam;
       public int iIndent;
       public int iGroupId;
       public uint cColumns;
       public uint puColumns;
   }

   public partial class Form1 : Form
   {
       [DllImport("comctl32.dll")]
       public extern static bool ImageList_SetOverlayImage(int himl,
int iImage, int iOverlay);

       [DllImport("user32.dll")]
       public static extern int SendMessage(int hWnd, uint Msg, int
wParam,  int lParam);

       public Form1()
       {
           InitializeComponent();
       }

       private void Form1_Load(object sender, EventArgs e)
       {
           listView1.Items.Add("aa", 0);
       }

       private void button1_Click(object sender, EventArgs e)
       {
           LVITEM item = new LVITEM();
           item.stateMask = 0x0F00; /*LVIS_OVERLAYMASK*/
           item.state = 1 << 8 /*INDEXTOOVERLAYMASK(1)*/;

           ImageList_SetOverlayImage(imageList1.Handle.ToInt32(), 1,
1);
           int x = SendMessage(this.listView1.Handle.ToInt32(),
0x1000 + 43/*LVM_SETITEMSTATE*/, -1/*all items*/,
((IntPtr)GCHandle.Alloc(item)).ToInt32());
       }

.....