If you are only planning a short visit to one of the border towns in Mexico, you won't require any type of visa or other documentation. There is a "free-zone" (twenty miles within the U.S. border) and as long as you don't cross that and leave the country within 72 hours, you will not have to take any special precautions.

Tourist Visa - FMT

If you plan to enter as a tourist, but intend to travel farther than the twenty mile free zone area, you will need to get a tourist visa (FMT). These are good for six months, and can be applied for at the border or at a Mexican Consulate, travel agency, or airline if you're planning to fly into the country. You will need a valid passport or birth certificate, plus some other type of picture I.D. such as a driver's license. You will need to fill out some basic paperwork that asks for your name, address, where you're going and why you're in the country.

Non-Immigrant Visa - FM3

An FM3 is a one year permit to reside in Mexico. This document makes the holder a No Imigrante (Non-Immigrant) like the tourist visa but, unlike the tourist visa, you are allowed to live in the country for an extended period of time. The document must be renewed each year as long as you continue to reside in Mexico. After your fifth year you can either upgrade to an FM2 or simply request a new FM3.

Immigrant Visa - FM2

An FM2 is a one year permit to reside in Mexico. Unlike the FM3, however, this document makes the holder an Imigrante (Immigrant). The document must be renewed each year as long as you continue to reside in Mexico. After your fifth year you can apply to become a permanent resident (inmigrado).

Citizenship

To obtain citizenship you must go the Secretaria de Relaciones Exteriores and apply for naturalization. You must prove five years of legal residency, which can be FM2 or FM3, and may also have to take exams in Spanish and Mexican history. You also have to provide colour photos and anything else that the licenciado asks for. This application is examined in great detail at the office where the application is made. It is then sent to Mexico City for a year or more for a decision. You must continue with the annual renewal of the FM2 or FM3 while this is being done. Once approval is received from Mexico City you pay another fee, wait another few months and (hopefully) receive your naturalization card. With it you become a full citizen.