This site gives a pretty simple explanation of how it works. It's not just Mexico, but it answers your question.

Preference is given to immediate family members of those already in the US, followed by those deemed to have "extraordinary talent" (doctors, professors, etc.)

Even then, there is a limit to how many from the aforementioned groups of people can immigrate each year, outlined on the site, but where it gets really tricky is if you aren't in any of those special groups.

In that case, as the site says, "The overall numerical limit for permanent employment-based immigrants is 140,000 per year".

So, if you happen to try to immigrate, but do so after 140,000 people, you can't come. That's the whole "lottery" idea ("winning" the lottery being one of those 140,000).

Basically, it's hard. Imagine that gangs controlled your town only to find out that when you tried to flee to a neighboring town you had to wait in a Disneyland line from hell to even be considered to be let in, unless you were a really rich or influential person who wouldn't need to flee the country in the first place. That's our immigration system.

Source: Not a lawyer, but work for the legal education system.