Is it possible that one shoots from a corner and the ball directly goes into the goal without being hit by other players?
Has this situation occurred in an actual game (I mean not in training)?
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A small addition to the answer provided by @Orangecrush:
It certainly happens from time to time, but it would be a strong overstatement to say it's common. Goals from corners are usually due to extreme spin on the ball, external conditions (e.g. strong wind) or a blunder by the goalkeeper; more often than not a combination of these factors.
While it definitely takes great skill to score from a corner, it's hardly a smart or reliable way to take a corner, as in 9/10 cases it's an easy high ball for the goalie. What's different with Beckham's goal (first example by @Orangecrush) is that it's supposed to be a fast, low cross to the first post which is then hopefully tipped in by a teammate, or an unlucky defender. The fact that it goes in without touching anyone is just the irony of football, well and partially incompetence by both the defenders and the attackers :)
Hope it helps clear up the concept