Rather than writing to a static file you fetch with AJAX or to an extra database field, why not have another PHP script that simply returns a completion percentage for the specified task. Your page can then update the progress via a very lightweight AJAX request to said PHP script.
As for implementing this "progress" script, I could offer more advice if I had more insight as to what you mean by "processes a lot of data". If you are writing to a file, your "progress" script could simply check the file size and return the percentage complete. For more complex tasks, you might assign benchmarks to particular processes and return an estimated percentage complete based on which process has completed last or is currently running.
UPDATE
This is one suggested method to "check the progress" of an active script which is simply waiting for a response from a request. I have a data mining application that I use a similar method for.
In your script that makes the request you're waiting for (the script you want to check the progress of), you can store (either in a file or a database, I use a database as I have hundreds of processes running at any time which all need to track their progress, and I have another script that allows me to monitor progress of these processes) a progress variable for the process. When the process begins, set this to 1. You can easily select an arbitrary number of 'checkpoints' the script will pass and calculate the percentage given the current checkpoint. For a large request, however, you might be more interested in knowing the approximate percent the request has completed. One possible solution would be to know the size of the returned content and set your status variable according to the percentage received at any moment. I.e. if you receive the request data in a loop, each iteration you could update the status. Or if you are downloading to a flat file you could poll the size of the file. This could be done less accurately with time (rather than file size) if you know the approximate time the request should take to complete and simply compare against the script's current execution time. Obviously neither of these are perfect solutions, but I hope they'll give you some insight into your options.