Many of the French families in New Mexico came from the French-speaking parts of Canada. One of the first books on the subject was Les Canadiens de l’Ouest, Cie. d’Imprimerie Canadienne, Montreal,1878, by Joseph Tassé.
NEW (August 9, 2016): Researcher of Canadian genealogy Alex Moore pointed out this great article by Andrea Davis, useful to beginner researchers as well as seasoned ones: http://www.homeadvisor.com/article.show.History-at-Home-A-Guide-to-Genealogy.17370.html. This website includes many useful links.
AMERICAN-FRENCH GENEALOGICAL SOCIETY
A genealogical & historical organization for French-Canadian research.
More links coming soon!