I usually have a form I name frmProgress or whatever, with a cancel button and a label for displaying a status message. Then embedded in the form code I have a boolean called bCancel, and when you hit the cancel button it simply sets bCancel as true.
Also in this code I have a routine called ShowPercDone( Idx , NumIdc ) where Idx is the step the code is on, and NumIdc is the number of steps the code will take (assuming each step takes the same amount of time). This works well when I'm running through a for loop, but basically any time I want to display a status update I just call the routine in the form with my message, which I should add runs the doevents command for me.
So that's how the status form works. In the macro I run, I start out by just calling frmProgress.show (0) so that it lets you click the cancel button. Then in my loop when I update the status message I then check frmProgress.bCancel and if it's true I exit out of the macro.
Hope that helps.