From FamilySearch Wiki
Mexico Quick Start Guide
This quick start guide will help you jump into research, helping you look for whatever information you're missing.
Who to search for? If you don’t know the names of the parents, but you know the name of the spouse and/or the names of some of his children, begin with a marriage search (if they married in Mexico and you know the place). Or, begin with a search for the birth/baptism record for one of their children (if you have an approximate birth date and place).
Finding a Locality
Check out the Mexico Getting Started article. You also might look through the article for each state in Mexico.