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We investigate a control of the motion of localized structures of light by means of delay feedback in the transverse section of a broad area nonlinear optical system. The delayed feedback is found to induce a spontaneous motion of a solitary localized structure that is stationary and stable in the absence of feedback. We focus our analysis on an experimentally relevant system namely the Vertical-Cavity Surface-Emitting Laser (VCSEL). In the absence of the delay feedback we present experimental evidence of stationary localized structures in a 80 $\mu$m aperture VCSEL. The spontaneous formation of localized structures takes place above the lasing threshold and under optical injection. Then, we consider the effect of the time-delayed optical feedback and investigate analytically the role of the phase of the feedback and the carrier lifetime on the self-mobility properties of the localized structures. We show that these two parameters affect strongly the space time dynamics of two-dimensional localized structures. We derive an analytical formula for the threshold associated with drift instability of localized structures and a normal form equation describing the slow time evolution of the speed of the moving structure., Comment: 7 pages, 5 figures