
\documentclass[aps]{revtex4}
\usepackage{array,mathtools,amssymb}
\newcolumntype{C}{>{$}c<{$}}
\begin{document}
\begin{table}[h]
\begin{tabular}{c|C||C|C }
\multicolumn{2}{c||}{} & K & H \\ \hline\hline
A & a & 1& 4 \\ \cline{2-4}
\;B & b & 2 & 5\\ \hline
\multicolumn{2}{c||}{C}& 3 & 6\\
\end{tabular}
\end{table}
\end{document}
Note that it is not recommended to typeset tables like this. This many rules make the table look crowded and does not help readers parse it easily. Indeed, professional-quality tables do not typically include any vertical rules, use horizontal rules sparingly and use variations in weight rather than doubling. They also include rather more space to help separate distinct cells. The documentation of booktabs has a lot to say on this subject and the package can be used to implement these recommendations.
For example:

However, booktabs seems to disagree with revtex so I had to switch to article for demonstration purposes:
\documentclass{article}
\usepackage{array,mathtools,amssymb,booktabs}
\newcolumntype{C}{>{$}c<{$}}
\begin{document}
\begin{tabular}{cCCC}
\toprule
\multicolumn{2}{c}{} & K & H\\\midrule
A & a & 1& 4\\\cmidrule(lr){2-4}
B & b & 2 & 5\\\cmidrule(lr){1-4}
\multicolumn{2}{c}{C}& 3 & 6\\\bottomrule
\end{tabular}
\end{document}
In any case, if you are submitting to a journal or conference and they want a particular style, you are stuck with it and typographic aesthetics is irrelevant. (Although the documentation suggests that you should perhaps be using revtex's versions of these commands in relevant places. Without, naturally, loading booktabs, which would mess them up.)
booktabsif you need to userevtex4:(. – cfr Jan 12 '15 at 00:47