It depends on what you are planning to do. If you want to drive around in Mexico, most of it is actually fairly safe.
About 16 miles (25 km) inside the boarder, you cannot pass unless you have a permit.
Here is the online connection for the permit.
http://www.banjercito.com.mx/site/tramiteitv_ing.jsp
You can get the permit just inside any mexican boarder, it just takes longer.