Your title says "Asynchronous external aplication execution". By this, you would mean something that will execute a program from your PHP script, yet continue on its own process and not hang PHP page load. You may want passthru() specifically setting the command to output to a local file rather than your script (personally not tested, though the PHP manual says you can), or pcntl_fork() to split off your script into a separate process which will handle the program execution on the side. However, double-sending to a browser after it had already disconnected from your server and expecting it to display your uninvited message is impossible unless you install a trojan on the client which will auto-accept your second, new tcp forced connection.
But, if you want a progress message for your page load, simply echo "still loading..." anywhere along a number of for or while loops. File download progress bars on the other hand cannot be dealt with in PHP. Echoing "still loading..." in the middle of the download will corrupt the file. At the moment, I'm not aware of any facility to do this using any PHP, Javascript, or VB method, except in the browsers own API (if documented) if the client allows it by installing a plugin you authored. But why, when browsers already have built-in progress bars?