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In Colorado, per Colo. Rev. Stat. § 18-9-303, at least one person in the conversation has to give consent. This can be the person that is recording the conversation. If so, then the recording is lawful.
In Mexico, per Mexican Constitution (Art. 16) gives general privacy rights to people but leaves the telephone conversations subjective. The determination of whether or not it is legal falls mostly on the purpose of the act. If the purpose is illegal (blackmail, etc), then the action is not legal even if there is consent from one the parties. But if the purpose is not illegal, then any person party to the conversation can record.
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