It is not well into the hours of daylight - hedgehogs are nocturnal and the fact that it is about during the day is usually a sign of illness or injury.
It is not in any immediate danger - e.g. on a road or being molested.
There are no signs of injury.
It is not swaying or wobbling from side to side as it walks.
It has not been laid in the same place for more than an hour.
Wearing gloves, put the animal in a cardboard box filled with crumpled strips of newspaper.
Take indoors and keep warm.
Do Not Give Milk.
If there is any sign of injury or blood then take them straight to your local veterinary surgeon.
If you intend to care for the hedgehog your self contact CHPS for advice, then erect a pen indoors (during reasonable weather a shed or a garage will suffice) as follows:-
Obtain a large strong cardboard carton as least three feet square, cover the bottom with glossy magazines to protect the box then lots of opened out newspapers on top of that. A nest box within the pen to provide sanctuary and security is essential. For this use a 1 foot cube box (crisp box size) with a lid or top. Cut an archway or doorway in it so the hedgehog can go in and out as it pleases. Again put glossy mags and folded newspaper in that with crumpled 1" strips of newspaper to use as bedding. Also put in the pen a shallow saucer of water and a shallow dish of food. If the hedgehog will eat cat or dog food (not the fish varieties) then great - if not try chopped up cooked chicken.
Always exercise extreme hygiene after handling hedgehogs or any other animals. Humans can contract a number of complaints such as ringworm, enteritis etc. from most animals including hedgehog so always wash your hands thoroughly using disinfectant after handling animals. Also keep all animals eating and drinking utensil separate from your own.
The care of unweaned babies is complex. If you come across a nest of unweaned babies then leave well alone and contact a vet immediately for advise. If the babies are handled their mother may well abandon them so exercise extreme caution.