Do you call for the Hazmat team when a regular 4' fluorescent tube breaks? Because there is
FAR MORE mercury in one of those than there is in a CFL.
Some of the precautions are a bit overkill and are simply fear mongering, however, ventilating the room/house IS a good idea as well as removing yourself/kids/pets from the area for a little while so the mercury vapour can dissipate.
Wearing gloves while picking up the pieces, don't use your vacuum cleaner as the bits of mercury can just contaminate the equipment and pass it around. Double bag the waste and any towels, gloves, etc. used to clean up the debris and then dispose of in the proper manner by contacting an enviro centre.