In New Mexico, you can just buy it already prepared at your local market.
(This image found here.)
It's made in Albuquerque by a company that's been around for a while and it's pretty good, but you'll find many native New Mexicans prefer to make their own. Traditionally you begin with dried red chile pods, but I like to use red chile powder. It saves a little time. Just be sure to get the powder that has no additives as some companies think it's okay to put non-food ingredients in the powder in order to prevent clumping.
1/2 C. corn oil
6 Tblsp. all purpose flour
1 C. Red chile powder, medium or hot (I like hot!)
3 Large cloves garlic, crushed or pressed
1 Tblsp. pressed onion (I do this in the garlic press.)
3 tsp. salt
1/2 tsp. Mexican oregano
4 C. cold water
In a large sauce pan toast the chile powder on medium-high heat. Be careful not to breathe in directly over the stove. Chile fumes are not fun! Ventilate well while performing this task. When it reaches the smoking point, remove from heat and reserve in a bowl for later.
Toasting the powder.
Add the corn oil to the pan over medium-high heat. Let it reach temperature, and stir in the garlic and onion. Saute these together for a couple of minutes until the garlic is clear being careful not to burn the garlic. Remove the garlic and onion from the oil with a slotted spoon. Reserve that for later.
Next, brown the flour in the oil. When that's ready stir in the chile powder--remember breathe carefully! Add the cold water, stirring constantly to blend. It should be the consistancy of a thick gravy. If it seems to thick, add more water a little at a time.