Now instead of error message add the image tag as shown below.
<img src=alert.gif' style='width:15px;height:15px;'>
Note : Image tag doesn't have have an end tag. So don't add.
Then in test your page that shows images for errors.
See the picture below.
Know More:
You can also embed sound instead of error message or error image.
<asp:RequiredFieldValidator ControlToValidate="TextBox1" EnableClientScript="false" ID="RequiredFieldValidator1" runat="server" Text="<bgsound src='C:\Windows\Media\Windows Error.wav'>"></asp:RequiredFieldValidator>
Just make sure that the EnableClientScript="false" when you want a sound instead of a text message.