See How a Query Is Progressing in MS office Excel
Because Microsoft Office Excel 2007 can now display more than 1 million rows in a spreadsheet, you can run queries that return a lot of data and therefore take a long time. By setting a query to refresh in the background, you can still work in Excel while data is being retrieved.
On the left side of the status bar is a little spinning globe, which lets you know that the query is still running. Clicking the globe opens a dialog box where you can see the queries that are being executed in the background, how long they have been running, and how many records have been returned so far. You can even stop the query if you want to.