Coloque isso em um módulo:

Public Const WAIT_FAILED = &HFFFFFFFF
Public Const WAIT_OBJECT_0 = &H0&
Public Const WAIT_ABANDONED = &H80&
Public Const WAIT_TIMEOUT = &H102&
Public Const STANDARD_RIGHTS_ALL = &H1F0000
Public Declare Function OpenProcess Lib "kernel32" (ByVal dwDesiredAccess As Long, ByVal bInheritHandle As Long, ByVal dwProcessId As Long) As Long
Public Declare Function WaitForSingleObject Lib "kernel32" (ByVal hHandle As Long, ByVal dwMilliseconds As Long) As Long
Public Declare Function CloseHandle Lib "kernel32" (ByVal hObject As Long) As Long
Public IDProcesso As Long
Public Processo As Long
Public RetornoProcesso As Long

Para chamar o executável

      IDProcesso = Shell("c:windowscalc.exe", vbNormalFocus)
      Processo = OpenProcess(STANDARD_RIGHTS_ALL, False, IDProcesso)

agora coloque isso num timer com o intervalo setado para 40(40 mesmo, não 40 segundos) 

   RetornoProcesso = WaitForSingleObject(Processo, 10)    

   Select Case RetornoProcesso
       Case WAIT_TIMEOUT   
             DoEvents              

       Case WAIT_FAILED Or WAIT_ABANDONED
            Exit Sub
       Case WAIT_OBJECT_0

            MsgBox "Programa foi fechado"           

            Call CloseHandle(Processo)     'Close the process handle
            Call CloseHandle(IDProcesso)    'Close the process id handle

            Exit Sub
   End Select
  
   DoEvents