Carlylia,
The best way to get an internship is to go to Henson.com and look for the internship possibilities. I've seen them listed on there before, though I no longer remember exactly where.
As far as I know, none of us have a real "in" with the Henson Company (someone please correct me if I'm wrong). I lived in LA for the past year and would frequently drive past the building...I had no access to get inside, though. Sorry. They aren't hiring right now (haven't been for ages), but it seems like they're always doing internships.
Good luck! Let us know what happens.