I think you need to check Part 3: Country Specific Instructions Region of the immigration guide. Here's the link http://www.cic.gc.ca/english/information/security/police-cert/north-america/mexico.asp
Apparently, for applicants from Mexico, they do not need to provide a police certificate when applying for permanent residence in their initial application. The visa office where you submit your application will contact you when they need this information.
Hence, you have recieved this letter. It most likely has instructions on where you can get one.
Hope this helps
Also, other senior members can help you out better with this.