Is this normal?
Yesterday, I rebooted my server, it was a restart from windows, a planned one, not a hardware failure or nothing.
I have a MyISAM table that records log information from other services, basically receiving a few inserts by second. But they are short, small transactions.
After the reboot, I found my table marked as corrupt ?
Is this normal? What was I supposed to do before the restart?
Is there a configuration option that helps on avoid this situation?

In theory the server should shutdown all services correctly which should halt MySQL correctly after the last insert/table lock. If you find your answer to this please post it. I'm sure others will come across this.

My server is not a standalone server, but one of the so called "VPS" a virtual server inside other, in Windows. May be it handle the shutdown differently.

Ah, VPS reboots/shutdown are dealt with in a different way I believe. I wouldn't like to point the finger, however if the windows machine itself shutdown it may well have halted and terminated the running process associated with your MySQL server possibly causing corruption. There is a myisamchk function I believe that you can run, and also REPAIR TABLE <tablename> which ought to help recover such occurences.