You will need to take a Greyhound from Chicago to a border town. I recommend Mc allan , ts...best bus station with many buses going into Mexico every day. Cheapest ticket on Greyhound is $92.00. Then it is 650 pesos...$52.00... on an ETN line bus to Zacatecas. there are many Mexican bus lines that leave from McAllen or Reynosa. If you go thru McAllen, you can just ask in the station and they will help you find the best one for you. If you need to go over to the Reynosa station to get the right bus, there is a little shuttle bus for $2.00 that takes you over there. Everyone os very helpful. some of the lines have websites, but most are hard to use and schedules change...so best to go to McAllen and ask for help there.
Is about the same if you take an airplane, and is more faster, only 5 hrs. Te recomiendo mejor vueles a zacatecas, es mas economico. Y rapido. Suerte amigo... Vivo en los angeles, y viajo mucho . Bye,bye. Rashi.