My dog just killed a hedgehog.. now what?

My mother and i just saw a hedgehog and when we put our dog outside, we couldn't see it, so we assumed it was gone. Next thing we knew, there was my dog, hedgehog in mouth. We new it was dead, but didn't see any blood. How do we get rid of it and what can we do about our dog? is he at any risks? He's never done this before, we don't know why he did it..