Try setting a global variable EnemyX and EnemyY to the current enemy X and Y and then above the "pick closest [enemyobj]" condition try adding this one "Compare two values: distance(EnemyX, EnemyY, [enemyobj].X, [enemyobj].Y greater than 5".
This will then pick the closest enemy object that is not within 5 pixels of the current enemy object (in theory, haven't tested yet)
Edit: Oops, choose "Pick by evaluate" for the enemyobj and compare the distance instead of "Compare".
Double edit: Here's my testing cap https://dl.dropbox.com/u/4714446/SelfTarget.cap
Hope that helps! <img src="smileys/smiley4.gif" border="0" align="middle">
(Note: the red object shown doesn't do anything but show which object is being targeted. It can be deleted entirely and the code still works <img src="smileys/smiley1.gif" border="0" align="middle">)