The Mexican's don't care much about people entering Mex. It's getting back into the USA that's strict.
In the other border states (ie. not Baja Calif Norte), there is a tax free frontera zone where anything can be brought into Mex without any checks. But once you try to continue further into Mex from the frontera, it's a full-on border check. That is where you have to get your permit for your car, visitor's visa, and show proof of insurance. This is all before you pull up to Mex customs for a possible car search.