I like to use a special no-border popup form to which I pass the message via OpenArgs:
DoCmd.OpenForm "InfoBox", , , , , , vbCrLf & "Please wait..."
DoEvents
The DoEvents helps ensure that the form has a chance to appear before your subsequent code starts eating up all the CPU time.
When you're done, just close it with:
DoCmd.Close acForm, "InfoBox"
You can even get fancy and let the InfoBox form figure out how to center the message vertically.
Rick Sprague