Data - Get External Data - Cancel Query

Ribbon bar. Select the Data tab. In the Manage group, click External Data and from the menu, select Cancel Query...Or, select the File tab. In the left pane, click External Data and in the right pane under Query, click Cancel...

Classic menus. From the Data - Get External Data submenu (or the File - Get External Data submenu), select Cancel Query...

...to stop a currently running query at any time. Note that SHIFT+F5 is a shortcut for this option. See Statistica Query for further details.