South towards Ensenada, Baja California Sur
Catch a colectivo towards Playas de Tijuana; it's about 10 pesos per person. You want to get off the bus where it turns off the dusty highway #1D into the town on the right; you can see a low wall and the United States on your right. Follow the highway on your left for about 500 meters and you'll come to a little rest area; you'll catch a ride towards Rosarito and Ensenada easily at the entrance or talking to drivers.
Border crossing is very easy and relaxed from the US to Mexico. You can try to catch a colectivo straight for Playas de Tijuana from near the border, but it's easier from downtown.