If your .Save call is done on a background thread you would be able to update the UI (a progress bar).

As an example:

  private void Button_Click(object sender, RoutedEventArgs e)
        {
            BackgroundWorker bw = new BackgroundWorker();
            bw.ProgressChanged += new ProgressChangedEventHandler(bw_ProgressChanged);
            bw.DoWork += new DoWorkEventHandler(bw_DoWork);
            bw.WorkerReportsProgress = true;
            bw.RunWorkerAsync();
           
        }
         
        void bw_DoWork(object sender, DoWorkEventArgs e)
        {
            Workbook wb = new Workbook();
            BackgroundWorker bw = (BackgroundWorker)sender;
            Worksheet workSheet = wb.Worksheets.Add("WS1") ;
            for (int i = 0; i < 65000; i++)
            {

                workSheet.Rows[i].Cells[0].Value = i;
                int progress = (int)((i / 65000.0) * 100);
                bw.ReportProgress(progress);
                System.Threading.Thread.Sleep(1);
            }
        }

        void bw_ProgressChanged(object sender, ProgressChangedEventArgs e)
        {
            this.progBar.Value = e.ProgressPercentage;
        }