"Against the Common Foe

War character only.
At the end of the challenges phase, if attached character is standing, each opponent that initiated a challenge against you must choose and kill a character he or she controls."

If my opponent steals my character but I still control this attachment how does it work? Is it looking at the opponent of the character, or the opponent of the attachment?

You would still control the attachment, so when it refers to "you" it is indeed referring to you (the controller of the attachment), and not your opponent.