As I read your original question, you asked this as a contrast/comparison to SQL server. The only contrast I can assume would be native Access via JET or ACE DB engines. However, it is possible that I misread or misunderstood your question. I take it as you desiring to be able to reflect the current status of an active native Access query so that you could do a percent complete display or a progress bar display or something similar.
If in fact you wanted to see incremental query progress on a JET/ACE query, you cannot do that without a LOT of gyrations. Access is designed to be synchronous. You have to play with Win API calls to cause a process "fork" so that you can have a query active AND have a progress monitor running in parallel at the same time. When you trigger a simple query via VBA and it is not through an ODBC style of link, your program doesn't regain control until the query is complete because Access was not originally designed for parallel operations. That parallel operation, however, is what you would need to be able to catch the DB engine "in progress." You CAN trigger suitable Windows calls, but they can become difficult.
Note that if you were using recordset operations, the answer is very different because with recordset activity, you explicitly step to the next record and therefore can create some kind of progress indication as part of the stepping process. But because it would be via VBA, it would inherently be much slower.
Again, if I misread the question, I apologize - particularly since I have to suggest you can't do what you wanted if my interpretation was correct.