Ok, thanks Luigi.

This is how I sorted it out, hope it may help someone. It looks like I
should write a typescript and a symbol definition file, but I new to this
and don't know how to do it yet.

This is a workaround for the meantime:

- Download the free True Type font "Zapf Dingbats BT" from
http://www.ufonts.com/fonts/zapf-dingbats-bt.html
- You should have got the file ufonts.com_zapf-dingbats-bt-2.ttf or an EXE
file -an installer-
- In windows 7 it may be installed by clicking "install" -context menu,
right mouse click-
- Generate Context font database:

mtxrun --script fonts --reload

- Check it's been read:

mtxrun --script fonts --list --all --pattern=zapf*

- You should have several lines like "zapfdingbatsbt
zapfdingbatsitcbybtregular
 c:/windows/fonts/ufonts.com_zapf-dingbats-bt-2.ttf"
- Finally this is how I get the characters I need:

\definefont[zapfdingbats][ufonts.com_zapf-dingbats-bt-2.ttf at 10pt]

\starttext

Testing: {\zapfdingbats \char109}  %shadowed white circle

\stoptext