Waiting OLE action to complete Message Box OK Button

I am among the many folks who get the "Microsoft Excel is waiting for another application to complete an OLE action" alert message.

In one case the alert occurs because I have connections to other files which are OLEing away on something. 

So here's my  question. Do I HAVE TO KEEP HITTING THE OK BUTTON to refresh the application? In other words is the OLE wait on me hitting ok to continue or is the action continuing to process regardless of me hitting ok? 

And what happens if I hit cancel?

I've literally spent a good 5-10 minutes hitting the OK button over and over until the file finally opens. Could I have been more productive grabbing some coffee or folding laundry during that time, come back and hit OK and the application open.

I understand what the message means, but does hitting OK over and over affect the process?