I had some problems with this achievement but finally I ´ve found a way to get it.
With Keyboard.

First Step:
Go OPTIONS -> CUSTOMISE KEYBOARD
in "KEYBOARD CONFIGURATION"
PRESS KEY FOR "JUMP/A" -> A
PRESS KEY FOR "SHOOT/X" -> X
PRESS KEY FOR "USE ITEM/Y" -> Y
PRESS KEY FOR "AIM LOCK/RT" -> U
PRESS KEY FOR "NEXT CHARACTER/RB" -> I
PRESS KEY FOR "NEXT CHARACTER/RB" -> O
PRESS KEY FOR "START/PAUSE" -> [SPACE BAR]

PRESS KEY FOR "UP" -> UP ARROW
PRESS KEY FOR "DOWN" -> DOWN ARROW
PRESS KEY FOR "LEFT" -> LEFT ARROW
PRESS KEY FOR "RIGHT" -> RIGHT ARROW

Second Step
then press SPACE BAR and wait until the Title Screen appears. Then press the next secuence:

UP ARROW, DOWN ARROW, LEFT ARROW, RIGHT ARROW, A.

It enables de Hedgehog Mode

You will hear "LET´S DO THIS!" and the Achievement will be yours.

Good Luck ;)