If you break a thermometer or compact fluorescent light bulb, you’re suddenly dealing with a contamination hazard. Cleanup requires more care than simply sweeping it up and throwing it away, and you need to be thorough in order to avoid being poisoned.
A Ph.D writing at About.com tells you how to clean up a mercury mess with minimal risk.
The post starts by telling you what not to do. Immediate vacuuming, sweeping and washing contaminated clothing are no-nos, because those actions spread the substance rather than contain it.
What you should do is clear the room of others, shut off the air conditioner or heater to stifle air circulation and scoop up the waste with paper or cardboard. Use the sticky side of tape to pick up smaller pieces and only vacuum after you’ve cleared up any visible pieces. Afterward, clean your vacuum thoroughly.
If you feel any negative effects after your clean-up job is done, seek medical attention.
How to Dispose of Mercury [About.com]