I'm sure it's much like any other animal, some can and some can't. I would think a hedgehog is definately not likely to be prone to wanting to learn "tricks", but I'm sure it can't hurt to try. I wouldn't get your hopes up though, most small animals are not very good at learning complicated things. Other then possibly teaching it to come when you call, I don't know of any other tricks a hedgie would be likely to perform.
You might have luck in encouraging a hedgehog to do something it likes to do naturally. For instance, if it likes to nudge a toy ball up a ramp and then watch it roll down, you might be able to get it to start playing this game on command.
Or at least you might get it to look like it's playing on command, which will impress all your friends.
your hedgehog responds to its name?? no way!! thats cool i dont think mine has any idea what his name is.
oh well he can poop, eat, and run for ten straight hours until we wake up and turn the light on on the poor guy,