UNIT1
...
   uses Unit2;
{$R *.dfm}
procedure TForm1.BitBtn1Click(Sender: TObject);
var
  WaitThread : TWait;
begin
  Caption := 'Start';
  WaitThread := TWait.Create(false,Self);
   try
     ADOQuery1.Open;
     while not ADOQuery1.Eof do
       begin
        sleep( 1 );
        ADOQuery1.Next;
       end;
   finally
     Caption := 'Stop';
     WaitThread.Terminate;
     WaitThread.WaitFor;
     WaitThread.Free;
   end;
end;

UNIT2
...
type
  TWaitForm = class(TForm)
    LbTime: TLabel;
    procedure FormClose(Sender: TObject; var Action: TCloseAction);
  private
    { Private declarations }
    procedure CreateParams(var Params: TCreateParams); override;
  public
    { Public declarations }
  end;

  TWait = class(TThread)
  private
    fWaitForm  : TWaitForm;
    fStartTime : TDateTime;
  protected
    procedure Execute; override;
  public
    constructor Create(CreateSuspended: Boolean; Owner:TForm); virtual;
    destructor Destroy; override;
  end;
var
  WaitForm: TWaitForm;
implementation
{$R *.dfm}
procedure TWaitForm.CreateParams(var Params: TCreateParams);
begin
   inherited;
   with Params do begin
     Style := Style or WS_OVERLAPPED;
     if Self.Owner is TWinControl then
        WndParent := TWinControl(Self.Owner).Handle;
   end;
end;
procedure TWaitForm.FormClose(Sender: TObject; var Action: TCloseAction);
begin
   Action := caFree;
end;
constructor TWait.Create(CreateSuspended: Boolean; Owner: TForm);
begin
   inherited Create(CreateSuspended);
   WaitForm := TWaitForm.Create(Owner);
   WaitForm.Caption := 'Îáðàáîòêà äàííûõ';
   WaitForm.Show;
   WaitForm.Update;
end;
destructor TWait.Destroy;
begin
   WaitForm.Free;
   inherited;
end;
procedure TWait.Execute;
begin
   fStartTime := Now;
   WaitForm.lbTime.Canvas.Lock;
   WaitForm.lbTime.Canvas.Brush.Color := WaitForm.lbTime.Color;
   WaitForm.lbTime.Canvas.TextOut( 1 , 1 ,FormatDateTime('[hh:nn:ss]', 0 ));
   WaitForm.lbTime.Canvas.UnLock;
   while (not Terminated) do
     begin
        Sleep( 10 );
        WaitForm.lbTime.Canvas.Lock;
        try
          WaitForm.lbTime.Canvas.Brush.Color := WaitForm.lbTime.Color;
          WaitForm.lbTime.Canvas.TextOut( 1 , 1 ,FormatDateTime('[hh:nn:ss]',Now-fStartTime));
        finally
          WaitForm.lbTime.Canvas.Unlock;
        end;
     end;
end;