I try to avoid starting articles with statements such as "When I was in Iraq" or "Back in combat," but I feel that this topic deserves such treatment.
When I was in Iraq, every time we went outside the wire, we had to start the day by reading the MNF West ROE card - translated, essentially, every day I was in Iraq started with one of my Marines reading out loud the rules of engagement as set by the commander of Multi National Force West, the entire western half of Iraq. The idea was that if we were constantly read the rules of engagement, we wouldn't unnecessarily blast a van full of Iraqi kids because the driver wasn't paying attention to where he was going. We were, in the meantime, trying to keep SVBIEDs (suicide vehicle borne improvised explosive devices) from killing us.
There was a specific escalation of force process involving the waving of bright orange flags, pen flares (banned after one went through a windshield and killed a civilian), warning shots in front of the vehicle, disabling shots to the grill of the vehicle, and finally aimed shots at the windshield. Due to rapid closure rates between oncoming vehicles, some units had to go straight from the flag-waving to the shooting at the vehicle. The process was called "Shout, Show, Shove, Shoot" but sometimes became "Shout, SCREW IT, FINAL PROTECTIVE FIRE" (especially if you worked for Blackwater).
However, we (and, to my knowledge, all other units from mid-OIF I and later) were told to never fire warning shots at people. Why? Well, there's the fact that the bullet doesn't just stop in the vicinity of the "warnee." It keeps going, often into places or people we wouldn't like it to go. Furthermore, as you're going to be amped up, there's the chance you might hit the person you're shooting at near. While shooting near a live person is okay in a shooting course run by James Yeager, it is not okay in the rest of the country.
From a legal standpoint, as a private individual carrying a concealed weapon, discharging a firearm without cause is most likely prohibited in urban or even moderately rural areas.
As this man found out, police and prosecutors frown on that sort of thing. Side note: his claim that he "jumped into combat mode" is laughable when you consider that warning shots against people were specifically discouraged by the military. He got off light, though. This woman was sentenced to 20 years in prison for firing warning shots.
So don't fire warning shots at or near people, okay?