Death certificates are kept at the state level; The division of Vital Records at the Mississippi Department of Health holds the original records.
When ordering from the Mississippi Department of Archives and History, keep this in mind:
If you are a resident of Mississippi, research requests are FREE; however if you are not, there is a $27.00 fee for 1hrs. worth of research. MDAH has copies of death certificates (from the MS Dept of Health) from Nov. 1912 to Dec 31, 1943. There is a small charge for photocopies.
http://mdah.state.ms.us/new/research/research-requests/If you are not a Mississippi resident, ordering from the MS Dept. of health is cheaper -- $15.00, however there are certain conditions that you must meet such as being a direct descendant, knowing the county of death (folks didn't always die in the county where they lived), and other particulars concerning the person.
http://msdh.ms.gov/msdhsite/_static/31,0,109.htmlA form for ordering the certificates from Vital Statistics can be downloaded (PDF) that you fill out and send with your payment, etc. Be aware, if they can't find your person, you don't get your money back.
Good Luck.