We present a detailed bifurcation analysis of a single-mode semiconductor laser subject to phase-conjugate feedback, a system described by a delay differential equation. Codimension-one bifurcation curves of equilibria and periodic orbits and curves of certain connecting orbits are presented near the laser's locking region in the two-dimensional parameter plane of feedback strength and pump current. We identify several codimension-two bifurcations, including a double-Hopf point, Belyakov points, and a T-point bifurcation, and we show how they organize the dynamics. This study is the first example of a two-parameter bifurcation study, including bifurcations of periodic and connecting orbits, of a delay system. It was made possible by new numerical continuation tools, implemented in the package DDE-BIFTOOL, and showcases their usefulness for the study of delay systems arising in applications.