If you've got Progressive or National (and maybe some others) you are covered in Mexico for everything EXCEPT liability. To be legal in Mexico you must have liability insurance underwritten by a Mexican insurance company. I use San Xavier www.mexican-autoinsureance.com
Another one I've used is here www.bajabound.com
The liability part is cheap. Collision is pretty pricy. Rates are controlled by the Mexiccn Govt. so prices are pretty much the same from company to company. Just an added on policy fee.
Where you headed in Mexico???