Neither Canadian provider (Shaw or Bell) is authorized to knowingly provide service outside of Canada, with the possible exception of Shaw customers who have their principal residence in Canada and a second home in the US. For those persons Shaw has (or used to have) a program called "Home Away From Home". Whatever the case, when a new account is established with Shaw, the subscriber MUST furnish a Canadian "service address".
I know of no laws in the US that state that it is illegal to receive TV signals from a non-American provider; such is not the case in Canada, however, where it is illegal to subscribe to either of the well-known American satellite providers.
Having said that, there are ways to obtain Shaw service in the US by using a broker, and there are many US posters in this forum who have gone this route . Please see the sticky thread above entitled "What is a Broker?". This is a "grey market" situation; the name speaks for itself. The hardware is not available in the US, except from sources like E-Bay, but beware of buying used receivers, as they cannot be re-authorized by a second owner if the previous owner left an outstanding account balance.
I can recommend the name of a source where you can obtain the hardware you will need and also get broker service. Please send me a PM if you want more information. We try to refrain from posting too much specific information on this forum for obvious reasons. Please note that going this route does NOT mean that you are illegally obtaining Shaw service without paying the appropriate subscription fees on a monthly basis, plus the broker will also charge for their service which essentially involves their providing you with a Canadian address and acting as the go-between between you and Shaw to set up and maintain your account and authorize your receiver.
An alternative method is to use the address of a relative or friend in Canada, if such exists. Please note that you could NOT piggyback on their Shaw account, as this practice is also illegal. You would simply have an account in your name using their address.
Currently the technology does not exist for a provider to know the location of a duly authorized receiver, UNLESS you plug your phone line into the receiver for PPV purposes. As a grey-market subscriber, you would want to avoid connecting your phone line.
Shaw's signal would be available to you in New Mexico, but it would be recommended to order the larger of the 2 dishes, the 75e. It is not impossible for you to install and aim the dish yourself. It is also possible to find a satellite installer in your area who could do the job, but I have read many horror stories by people who have hired professional installers who have difficulty completing the job.