Couldn't you have something like this? There is probably a more efficient way but:

Code:
Dim Canceled as Boolean

Private Sub cmdCancel_Click()
Canceled = True
End Sub
THEN

Code:
for i1=1 to largeNumber1 
 for i2=1 to LargeNumber2 
  If Canceled = True Then Exit For ' or exit sub/function
  WorkOnSomethingCumbersome
next i2