Hi, You may find the files you need here. http://www.inegi.org.mx/geo/contenidos/geoestadistica/M_Geoestadistico.aspx
For example, I opened the Areas Geostadisticas Municipales file and found it contains the .dbf and .shp files you will need. There are instructions here Examples of Creating Maps for setting up any maps for which you have these two files.
Like Julian mentioned, there are different ways to go with maps depending on what type of geographic information you have in your data set.
One option, if you don't already have latitude and longitude points in your data, there is a JMP Add In that can convert place names such as cities and addresses into coordinates. You can then use the latitude/longitude points with a background map in JMP.
A link to a blog post on the subject can be found here:A JMP add-in to geocode your geographic data - JMP Blog
Link to the add in is here: Geocoding Place Names
Plot latitude on your y and longitude on your x in graph builder. Then right click in the middle of graph builder to graph>background map.
Also, just a reminder to get to maps (including those not included with JMP), from a Graph you can right click on a graph (in this case from Graph Builder).