I need to have monthly rates of Mexico's GDP for 2000-2005. It is very
important  that the answer contains the source of the data.

There is no monthly GDP data. If you need monthly data you'll have to
use something like industrial production as proxy.

Mexico published quarterly the GDP in the web of the national office
of statistics and informatics www.inegi.gob.mx
The information about nation accounts can be accessed through the
Economic Information Dataset (Banco de Informacion Economica BIE in
Spanish).

Aditional infomration can be downloades in the central bank of mexico
webpage www.banxico.org.mx
For montly data you can use the Industral Activity Index (IGAE is the
spanish acronomy) however this index only camptures industrial
activity (about 30-40 percent of gdp)