Hi there,
As far as I know, if you are renting a US car, then driving to Mexico, you can get insured through any insurance company other than the rental company insurance.
However, as you're
renting the car in Mexico, then you will need to get your Mexico Rental Car Insurance through the
rental car company.
Also, I highly recommend full-coverage insurance. It does cost extra (about $50U.S. per day), but if you get into an accident, it will save you a lot of money, and a lot of hassle. Even if you don't have an accident, but you bring a car back with a minor flaw like a chipped windshield, you'll wish you had purchased the extra policy.
Some of the best companies are Hertz, Explore, America car rental, etc;