VBA - How to open a pop-up that does not stop the macro?

Hi everyone, I would like to add a pop-up (like MsgBox) but I don't want the macro to wait for the user to click on any button.
This mean a MsgBox saying something like "The macro is running, please wait ..." And once the macro is finished this pop-up window will close it-self without interaction from the user.
To my knowledge I guess I will have to use something close to a thread but I don't know if VBA allow this or not. Moreover it looks a bit complex to use a thread-like function just for this.

Any help is appreciate :)
Thx !

By the way, currently I'm doing this this way:

Open a msgbox saying "macro will run, click OK and wait for the next msg box"
Excel.Application.Visible = False 'Hide the running macro and Excel files
MACRO CODE
Excel.Application.Visible = True 'Unhide the running macro and Excel files
Msgbox saying "Macro is done"

It works but the user does not see anything running so he could think that nothing is running...