Here is a website I came across looking for exactly the same thing: http://www.alternativateatral.com/servicios.asp. Unfortunately, a lot of these classes started in March/early April. Also, many of the courses run until next summer (which is only a problem if you're not going to be here for very long). There are a few month-long improv classes, though.
The only English theatre I could find was the Teatro en Ingles, but it's more suited to those learning the language.
Thanks very much Kristen,
That was very helpful. I am going to have a look at it anyway, I am going to stay here for another 6 months, I will find something.
I speak spanish as well, I don't mind the language really, just want to be involved with Theatre.