Does hexproof mean that that creature can't be countered?
No, if a creature can't be countered, it will say on the card. Hexproof means "This creature cannot be the target of spells or abilities an opponent controls". See {Thrun, The Last Troll}.
Hexproof (Troll shroud) refers to a creature ability. Countering targets a spell (for the sake of this, a creature spell). A card is a spell when being cast from your hand, graveyard, library, and exiled zone unless stated otherwise. A creature spell only becomes a creature once it is resolved on the battlefield.
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