A semiconductor laser subject to phase-conjugate optical feedback can be described by rate equations, which are mathematically delay differential equations (DDEs) with an infinite dimensional phase space. This is why, from the theoretical point of view, this system was only studied by numerical simulation up to now. We employ new numerical techniques for DDEs, namely the continuation of periodic orbits and the computation of unstable manifolds, to study bifurcations and routes to chaos in the system. Specifically we compute 1D unstable manifolds of a saddle type periodic orbit as intersection curves in a suitable Poincare section. We are able to explain in detail a transition to chaos as the feedback strength is increased, namely the break-up of a torus and a sudden transition via a boundary crisis. This allows us to make statements on properties of the ensuing chaotic attractor, such as its dimensionality. Information of this sort is important for applications of chaotic laser signals, for example, in communication schemes.