You could create a form with a label on it. As the first step in the macro,
open the form in normal mode. Then, just before you run a query, use the
SetValue action to set the caption text in the form's label -- something
like this:

   Action: SetValue
       Expression:  Now running query [name]....
       Control Name:  Forms!YourFormName!LabelName.Caption

Then close the form as the last step in the macro.