We performed optical spectroscopy measurement on a superconducting Ba$_{0.6}$K$_{0.4}$Fe$_2$As$_2$ single crystal with T$_c$=37 K. Formation of the superconducting energy gaps in the far-infared reflectance spectra below T$_c$ is clearly observed. The gap amplitudes match well with the two distinct superconducting gaps observed in angle-resolved photoemission spectroscopy experiments on different Fermi surfaces. We determined absolute value of the penetration depth at 10 K as $lambdasimeq2000 AA$. A spectral weight analysis shows that the Ferrell-Glover-Timkham sum rule is satisfied at low energy scale, less than 6$Delta$.