Option Explicit
  Public Declare Function CallNextHookEx Lib "user32" _
     (ByVal hHook As Long, _
     ByVal nCode As Long, _
     ByVal wParam As Long, _
     ByVal lParam As Long) As Long
 Public Declare Function UnhookWindowsHookEx Lib "user32" _
    (ByVal hHook As Long) As Long
 Public Declare Function SetWindowsHookEx Lib "user32" _
    Alias "SetWindowsHookExA" _
    (ByVal idHook As Long, _
    ByVal lpfn As Long, _
    ByVal hmod As Long, _
    ByVal dwThreadId As Long) As Long
 Public Declare Function GetCurrentThreadId Lib "kernel32" () As Long
 Public Const WH_KEYBOARD = 2
 Public hHook As Long
 Public Hooked As Boolean
 Public Key As String
 Public Function KeyboardProc(ByVal nCode As Long, _
                              ByVal wParam As Long, _
                              ByVal lParam As Long) As Long
 'Debug.Print wParam      раскомментировать чтобы посмотреть что будет при нажатии других клавиш
         If wParam = 37 Or wParam = 39 Or wParam = 38 Or wParam = 40 Or wParam = 32 Then
             Hooked = True
             If wParam = 37 Then Key = "Left"
             If wParam = 39 Then Key = "Right"
             If wParam = 38 Then Key = "Up"
             If wParam = 40 Then Key = "Down"
             If wParam = 32 Then Key = "Space"
         End If
    KeyboardProc = CallNextHookEx(hHook, nCode, wParam, lParam)
 End Function

 Sub Start()
  Dim i As Long

  'Типа
  Do

  Hooked = False
    hHook = SetWindowsHookEx(WH_KEYBOARD, _
                             AddressOf KeyboardProc, _
                             0&, _
                             GetCurrentThreadId)

     'Пока не хукнули (Hooked=true в KeyboardProc)
   While (Not Hooked)
   i = i + 1
   Cells(1, 1) = i
 'Без этого зависает
   DoEvents
   Wend

    Call UnhookWindowsHookEx(hHook)
    MsgBox Key

 'И типа
  Loop
 End Sub