Diane, I looked at the St. Mary's baptisms yesterday.
They only go up to 1899.
So maybe you need to contact the church itself.
St. Mary Church Address: 121 E. 7th Street, Walsenburg, CO.
Mailing Address: PO Box 86, Walsenburg, CO 81089. Office hours: Monday - Friday 8:30 am - 4:30 pm. Phone: 719 738-1204 *
Fax: 719 738-1206 * Email: email@example.com ...
Or you can have your local LDS church order the microfilm:
Baptisms 1901-1920 FHL Film #0002792 (Family History Library)
I've looked at a lot of resources and I just can't fine anything.
Remember they might not of baptized Marshall in Huerfano County Colorado.