it is warned to wear gloves to clean it up, put it in a bag/plastic sack, and do not vacuum as it can cause further mercury exposure.
What should I do if a CFL breaks?Because there is such a small amount of mercury in CFLs, your greatest risk if a bulb breaks
is getting cut from glass shards. Research indicates that there is no immediate health risk to
you or your family should a bulb break and it’s cleaned up properly. You can minimize any
risks by following these proper clean-up and disposal guidelines:
• Sweep up—don’t vacuum—all of the glass fragments and fine particles.
• Place broken pieces in a sealed plastic bag and wipe the area with a damp paper
towel to pick up any stray shards of glass or fine particles. Put the used towel in the
plastic bag as well.
• If weather permits, open windows to allow the room to ventilate.
http://www.energystar.gov/ia/partners/promotions/change_light/downloads/Fact_Sheet_Mercury.pdf