How to deal with a broken CFL (Compact Fluorescent Lamp):

CFL contain a small amount of mercury. When used normally, this small amount of mercury is not causing any health risks. Mercury cannot escape from an intact lamp.
The only possibility to get in contact with mercury is the improbable break or damage of a CFL, but the very small amount of mercury is most unlikely to cause any harm. Mercury is vaporizing at room temperature, still the generated concentration in the ambient air is lying underneath the required German limits.
Health risks can be safely avoided when the room is adequately ventilated immediately and the broken glass is removed afterwards.

Please keep in mind the following advice:

What to do immediately:

Cleaning and disposal:

How to avoid the break of a CFL:
The breaking of glass is not totally avoidable when changing bulbs or CFL, but the following tips may help to prevent it: