I'm not familiar with plants in New Mexico, but this looks like something in the mustard family. Perhaps a Lepidium.
I've linked to Lepidium montanum below.

The image came from this site with a list of Brassicaceae ( mustard family) for New Mexico.

http://www.polyploid.net/swplants/swspecieslist.html

Here is a link that might be useful: Lepidium montanum

Maybe a type of wild phlox? Does it smell nice?

The flowers are pure white. There is no fragrance. It reminds me of stock, because each flower has four flat petals. The seed husks become somewhat translucent when they dry. The foliage is a grey-green. When watered, they can grow to be about a foot and a half wide, very dense, and about two feet tall. If left to their own devices they are smaller and more scraggly, of course.

Here's another possibility from the same site.

Here is a link that might be useful: Dimorphocarpa wislizenii

That is it Carol! Thanks!! I did a search against the Latin name. The common name is Spectacle Pod. The name makes sense because of the appearance of the dry seed pods.

Lorna