The error I received when I didn't have that module loaded was:
mirror: Required device-mapper target(s) not detected in your kernel
If you use LVM regularly you may want to add support for this at startup; there are a few ways you can do this but I choose to add to the modules list at /etc/modules. (Just use vim and add "dm_mirror" to the end of the file.) I'm on Ubuntu (Feisty Fawn) so YMMV.
BTW, for conveniance, there's no difference between "-" and "_" in module names. dm_mirror and dm-mirror are interchangeable.