Crossing into another country requires significant research regarding passports, insurance for car and people, and importation rules regarding the vehicle. Asking how to do that on any internet forum is foolish. You should go to the Mexican government's website and get the answer there.
In Mexico, for example, have an automobile accident without Mexican insurance, and you are subject to being jailed and your automobile confiscated. The Mexican authorities will not care that the posters on RV.net told you it was OK!
The previous advice about taking a taxi was very good.