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1. going to mexico
Generally used to mask the act of illegally downloading something.
Origin: Mexico is home to the small town of Juarez, which coincidentally is pronounced exactly the same way as "warez", which is another name for pirated software.
"Half-Life 2 just came out eh? Looks like I'll be going to Mexico tonight."

"My cousin in Mexico just lended me his copy of Doom 3 (it was a piece of shit)."
2. Going to mexico
A term used by many people when they are stressed, or people who need a solution to their problems.
Guy1: "I heard you have to pay child support."
Guy2: "No, I am going to mexico."
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