A quick "fix" would be to add a TARGET=_BLANK attribute to each of your FOCEXEC style setting so the drill-down opens in a new window, which even if slow will give your users an indication that something is happening.
If you want them to open within the same page though and your underlying calls are a bit slow, you may need to resort to more elaborate means like using wrapper .fex/.htm file to display some notification of stuff happening while the HTML document's href is silently being redirected to the actual WFServlet call executing your report, or perhaps using JavaScript routine instead of direct FOCEXEC calls in your drill-downs. That way, you can use your JavaScript piece to display a "Running..." message somewhere in your page to later change the document's href.
Just keep in mind that adding all of this JavaScript baggage will make your code not only more difficult to maintain (although perhaps providing a better user experience) but it may affect the behaviour of the "Back" button in your browser in case users want to return to the main report page; you'll pretty much have to built a lot of custom JS code to make that happen seamlessly.
TARGET=_BLANK may provide a faster win.
You can always try and train your business users to be extra patient
Prod/Dev: WF Server 8008/Win 2008 - WF Client 8008/Win 2008 - Dev. Studio: 8008/Windows 7 - DBMS: Oracle 11g Rel 2
Test: Dev. Studio 8008 /Windows 7 (Local) Output:HTML, EXL2K.