Well, in point of fact, @2davidc8… the mercury compounds in the CFL lamp are more dangerous to you than the elemental mercury found in older thermometers. Elementary mercury at room temperature is considered to be generally inert to the common atmosphere and substances that we normally live among (household furnishings, wood floors, etc. – I don’t know about more reactive substances such as bleach, acid and so forth, so I wouldn’t go testing this without sufficient protection and some research first).
So the mercury “dust” compounds should really not be inhaled, ignored or smeared on your body and left there. They do carry some biological risk to you. But it’s not such a significant one that you need to evacuate the house and move to another state, either. Just be careful with how you treat it and dispose of it now, clean your hands after you’re done, and you’ll be fine. For the time being.
Statistically, you’ll face more risk from a cut produced by the broken glass, as I had noted earlier, than you will from the mercury compounds that were inside the lamp as long as you don’t fool around and get careless with the remains, and that’s the most immediate concern.
Long term, you also face more risk of injury or death – statistically speaking – in driving to the store to buy a replacement lamp or lighting system. Which is not to say that if you manage to clean up the glass and powder without injury and then manage to drive to the store and back, you’re home free. You’ll still have to install the new lamp / light, and that has a separate risk attached.
And so it goes.