Let's assume I want to use a one-handed ranged weapon to attack an opponent with whom I'm engaged.

As far as I understand, the base difficulty is 1 (TABLE I.6–1: RANGED ATTACK DIFFICULTIES) and the modifier is +1 difficulty (TABLE I.6–4: RANGED MODIFIERS) because I am engaged with an opponent while armed with a one-handed ranged weapon.

My question is: do I also have to upgrade the difficulty (Making Ranged Attacks at Engaged Targets), because I have to consider my own PC as an ally engaged with the target, or does my own PC not count as an ally? Do I use 2 difficulty dice or 1 difficulty, 1 challenge? Do I shoot myself if a despair appears?

2 Difficulty is the simple answer. In this hypothetical engagement you are not your own ally, you are just you, so no upgrade is applied. But if this hypothetical engagement consisted of two PC’s and an npc then you would upgrade the difficulty.

13 hours ago, Richardbuxton said:

2 Difficulty is the simple answer. In this hypothetical engagement you are not your own ally, you are just you, so no upgrade is applied. But if this hypothetical engagement consisted of two PC’s and an npc then you would upgrade the difficulty.

I guess this is how the rules are meant. You are right that I am not my own ally (even though I am a member of "team ally", so to speak). In the rules it says "Sometimes, characters may want to attack a target engaged with another character...", which supports your interpretation. On the other hand, shooting yourself because the engaged enemy bends your arm would also make some sense (cinematically).

Which could still happen if your opponent has Adversary talent and forces an upgrade of the challenge dice and you roll a despair. You don't typically find a minion group forcing they hero to shoot himself just because he gets close.

1 hour ago, DrVecctor said:

On   the other hand, shooting yourself because the engaged enemy bends your arm would also make some sense (cinematically).  

True, but it's not particularly fun when a PC accidently kills or incapacitates themselves. Very few people like it when their hero dies/fails anticlimatically. Its the kind of cinematic that's most appropriate for NPCs.

25 minutes ago, Varlie said:

Which   could still happen if your opponent has Adversary talent and  forces an upgrade of the challenge dice and you roll a despair   .

Or if the GM spends a storypoint to upgrade the difficulty, because it is appropo to do so for whatever reason...