The Mexican government has issued a "Travel Alert" in regards to the new Arizona immigration law; it can currently be found at www.sre.gob.mx/english (the Spanish-language version at [1] appears to say the same thing):

In recent days there have been public demonstrations and protests in different cities against the decision of the Governor of the state to sign the law. The events have always been peaceful. It is important to act with prudence and respect local laws.

The events haven't all been peaceful; see peekURL.com/v2eqy5q And, of course, it's rich to hear that government suggest that their citizens abide by our laws, especially since the "prudence" part is meant as a suggestion that illegal aliens should keep a low profile.

They complain about there being a "negative political environment for migrant communities and for all Mexican visitors"; "migrant" is code for "illegal aliens". However, with some of the rest they show why the law got such wide support and are in effect on the side of Arizona:

Under the new law, foreigners who do not carry the immigration documents issued to them when entering the United States may be arrested and sent to immigration detention centers. Carrying the available documentation, even before the law comes into force, will help avoid needless confrontations... The new law will also make it illegal to hire or be hired from a motor vehicle stopped on a roadway or highway, regardless of the immigration status of those involved. While these rules are also not yet in force, extreme caution should be used.

Mexico is in effect helping Arizona with attrition. This alert will certainly reduce legitimate travel to Arizona, but it's also Mexico telling current and prospective illegal aliens that Arizona's getting too hot, as they say.

[1] www.sre.gob.mx/csocial/contenido/comunicados/
2010/abr/cp_121.html