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