A system of two mutually delay-coupled semiconductor lasers with a small delay of 170 ps in the coupling is studied. Apart from a possible difference in their optical frequencies, we consider two identical lasers. We show the existence and stability of compound laser modes. They are the basic solutions of the system describing a frequency locked state of the coupled laser system. A characteristic detuning scenario is shown, including a sequence of mode jumps and multistability within the locking region.