I choose a Hedgehog as familiar. Familiars have:
Attacks: Use the master’s base attack bonus, as calculated from all his classes. Use the familiar’s Dexterity or Strength modifier, whichever is greater, to calculate the familiar’s melee attack bonus with natural weapons. Damage equals that of a normal creature of the familiar’s kind.
Hedegehog does not seem to have any attacks. As a familiar, does he gains one? I dont think so. Did I understand it well?
Your Hedgehog would use your BAB and its STR or DEX for any attacks it did have... but no, it does not gain one. Nothing in the Familiar sections adds attacks, only modifies them.
The Animal Archive book has a section on Approximating Familiars with a section on customzing your companion:
From there, you can change the skills and feats, add or subtract attacks, and otherwise sculpt the creature until it matches the picture in your imagination.
While it lacks natural weapons, hedgehogs (like humans) still have recourse to the use of Unarmed Strikes, should they choose to employ them. Such strikes deal whatever the GM decides '1' reduces to when lowered by one step for normal hedgehogs, or 1d2 for a first level hedgehog monk.
Animals, for whatever reason, get lots of weird prohibitions against things. For example, the typical hedgehog, even should it decide to spend its sole feat on Cosmopolitan is nonetheless incapable of speaking-- though it remains able to comprehend the languages chosen. More relevantly, animals are barred from using more or less any manufactured weapon at all, though they get proficiency in all types of armor more-or-less for free.
Magical beasts, however, have no such FAQ-errata-based restrictions nor benefits. A familiar, as a magical beast, could certainly wield, with a non-proficiency penalty, any manner of weapon it felt like and had access to, just like any other non-animal creature.
