First, read this advice and these US State Dept.
rules and regulations.
Second, read this on Mexican immigration laws and regulations. Remember, it is a felony to be in Mexico illegally. And their jails are not very nice - no TV and no A/C. And their guards and police are not well-schooled in multicultural sensitivity.
And the suggestion for the Minutemen and those who wish to support the laws of the US: Get a thousand folks to cross the border into Mexico without money and without passports. Seriously. See what happens. It would make an effective statement.