All fluorescent bulbs contain mercury, including CFLs. The amount of mercury is relatively small, generally about 3-5 milligrams or 1/100th of what is contained in a mercury thermometer.
When a CFL breaks, some of this mercury is released as mercury vapor, while some remains with the broken remnants of the bulb. Mercury vapor can continue to be released from these remnants. For this reason, it is important to properly clean up and dispose of any broken fluorescent bulb.
In recent years, there have been a number of different articles and news items about the implications of CFL breakage, with many either understating or overstating the consequences of a breakage. A broken CFL definitely merits attention and a proper cleanup, but by following some simple instructions you can minimize your exposure and effectively eliminate the contaminant.
The Environmental Protection Agency has developed a handy guide on how to clean up a broken CFL bulb, which you can find using the link below.