Is it possible to work in one application while a macro is running in another?

Normally, no. Windows only accepts keystrokes and mouse events (clicks & moves) for the window that has focus. However, you may have success if you use the Window Control commands and avoid certain macro commands that only work with the foreground window.

For a sample macro that demonstrates this, open the samples.mex file (installed with Macro Express) and look at the macro titled ‘Calc ulator and Note pad’ (the extra spaces are part of the name).