Hi,
That pop up is normal, you just need to wait for it to finish and the pop up message will change, and an OK button will appear.
It is even normal if the pop up shows "not responding" at the top, this will also finish when given more time. (In that case, Excel thinks its not responding, but actually we are still retrieving data from ebay)
If you have a large volume of sales we do have a Powerseller tier that can make this process much (much, much) faster. You can try it out for free by putting your download key in here:
https://mycostpro.com/speed-upgrade-trial/Let me know if you still have trouble!
Scott