Actually, your insurance is no good once you cross the boarder, definitely as far as Mexican authorities goes.
Anyway, GNP sells insurance on a daily basis and it can be full coverage. AAA sells GNP insurance and you can get it before you get anywhere near the boarder. You can also buy insurance at several places just before crossing the boarder, look for the signs about 2-3 miles from the boarder, or just after you cross the boarder. It's far easier to do it before crossing.
Depending on the car, runs around $20 a day. A full year can be had for $300 or so. I'm moving that direction.
A couple of places actually let you do the coverage over the internet....
http://www.drivemex.com/
and
http://www.mexpro.com/
James