There are ways to do it in userforms, but rather than do that, I usually
just use Application.Statusbar = "Currently Processing XXXX"
If I'm cycling through rows, I'll do something like:

If (data.row mod 100 = 0) then Application.statusbar = "Processing Row: "
& data.row
(so that it only updates the statusbar every 100 rows)

be sure to use: Application.statusbar = false
to reset it at the end of the sub.