Hello there,
That depends on whether you live inside or outside of Mexico. Here's the information from CIC:
If you live in Mexico:
You must apply to the Mexican authorities, Procuraduría General de la República (PGR). Further instructions and an official letter of request for a police certificate will be sent to you after your Application for Permanent Residence has been reviewed.
If you live outside of Mexico:
You must first submit your Application for Permanent Residence. The Canadian Embassy in Mexico will request a police certificate on your behalf after you provide all of the following:
Two sets of original fingerprints that meet these standards:
rolled and flat impressions of all ten fingers taken with black ink
full name, date of birth and sex
the name and address of the police agency where the fingerprints were taken
the signature of the officer taking the fingerprints
To have your fingerprints taken:
In Canada: Contact a fingerprinting agency, or visit your local police station.
In any other country: Visit your local police station. In some countries the Mexican Embassy or Consulate will be able to assist you.
Three passport-size (4.5 cm × 3.5 cm) photographs of front profile (no makeup, earrings, glasses, or facial hair – no exceptions)
Three passport-size (4.5 cm × 3.5 cm) photographs of right profile (no makeup, earrings, glasses, or facial hair – no exceptions)
One clear, legible copy of your passport bio-page (with your picture and full name)
Quote your file number, your name, and date of birth.
Please send all five items to:
Embassy of Canada, Immigration Section
Miguel de Cervantes Saavedra 193, Col. Granada
C.P. 11520, D.F.
MEXICO
http://www.cic.gc.ca/english/information/security/police-cert/north-america/mexico.asp