Can I run CUDA on Intel's integrated graphics processor?

At the present time, Intel graphics chips do not support CUDA. It is possible that, in the nearest future, these chips will support OpenCL (which is a standard that is very similar to CUDA), but this is not guaranteed and their current drivers do not support OpenCL either. (There is an Intel OpenCL SDK available, but, at the present time, it does not give you access to the GPU.)

Newest Intel processors (Sandy Bridge) have a GPU integrated into the CPU core. Your processor may be a previous-generation version, in which case "Intel(HD) graphics" is an independent chip.

Portland group have a commercial product called CUDA x86, it is hybrid compiler which creates CUDA C/ C++ code which can either run on GPU or use SIMD on CPU, this is done fully automated without any intervention for the developer. Hope this helps.

Link: http://www.pgroup.com/products/pgiworkstation.htm

If you're interested in learning a language which supports massive parallelism better go for OpenCL since you don't have an NVIDIA GPU. You can run OpenCL on Intel CPUs, but at best you can learn to program SIMDs. Optimization on CPU and GPU are different. I really don't think you can use Intel card for GPGPU.