Breaking a lamp is extremely unlikely to have any impact on your health. If a lamp brakes, ventilate the room for 30 minutes and remove the parts, preferably with gloves. Put them in a closed plastic bag and offer it to the local waste facilities for recycling. Do not use a vacuum cleaner.
* Compact fluorescent lamps have to be treated as special waste, they must be offered to the local waste facilities for recycling. The European Lighting Industry has set up an infrastructure, capable of recycling mercury, other metals, glass, etc.