I suggest doing either or both of:
a) search the forum for "animated gif" (which is what your link presumably shows)
b) use the built-in equivalent via WaitCursor(True)
Use Agraham's Threading dll, and use some flags to "tell" the foreground sub what has been done and what is beeing done in the background...
You can in the foreground use an animation and update it upon flag setting, or just update a status bar, your choice
You can also consider switching to SQL. It will be much faster. In most cases it will be very difficult for the user to navigate a table with thousands of rows.
I'll bet that you could also use the threads library, run checks on the count of records you've loaded vs the total and tie that into the progress bar from the controlex library...