Detecting "Contacting Server" Alert in VBA

[DLW1]

I am contacting the yahoo finance server to download a large group of historical stock quotes using VBA. Everything typically works fine but I occasionally get a message alert that says "Contacting Server" or "downloading". Once this happens for an extended time I loose control and the VBA code hangs. I must maually hit the escape key or cancel key to continue the program. How do I detect this alert automatically in VBA and terminate the internet connection so I can retry again? The application.displayalerts=False command does not suppress it. Thanks very much to anyone that can help.