I have three grandchildren that I support,they are Mexican citizens and I was wondering if I can get a PIN to claim them as dependents.

First, to make sure that you are eligible to claim these children as your qualifying relatives, please confirm that (a) the people the children are living with (their parents?) are not US citizens and do not have any US tax obligations and (b) you provide over half the financial support for these children.

To claim these children as dependents you need to obtain ITINs (individual taxpayer identification numbers) for them. These are similar to social security numbers but are intended for non-US citizens. See Taxpayer Identification Numbers (TIN) (http://www.irs.gov/businesses/small/international/article/0,,id=96696,00.html) and the link from that article to the W-7 form.

Because Mexico borders the United States, it is one of two countries where you CAN claim the children as dependents even if they are not located in the U.S.

However, ebaines is correct in noting that you must meet the other requirements to claim them as your qualifying relatives.

A dependent can be your qualifying child or qualifying relative. A Qualifying Child must be under 19 or 24 if full time student. The requirements for a qualifying child dependent are that your child must live with you and the child must not provide more than half of the support. Since your grandchildren do not live with you, they are not your qualifying children.
There is no age limit for a qualifying relative, and it is not required that the dependent (who is related to you) lives with you. You must provide more than half of the support. Also they must not be qualifying child of some one else.

MukatA spells it out much better than I did.