--print error immediately in batch
declare @i int,
        @err varchar(100)
--set @i=1
while 0=0
begin
SET @err = 'Progress So Far: Step ' + convert(varchar(30),ISNULL(@i,1)) + ' completed.'
raiserror (@err,0,1) with nowait
waitfor delay '00:00:02'
set @i=ISNULL(@i,1) + 1
end

SELECT *
FROM MyTable

waitfor delay '00:00:02'

GO 5