When execute long running queries the GUI is disabled (except the STOP icon to stop the execution) until the execution is finished, and can not do anything this time. This is because SQLyog doesn't make different connection to MySQL for each query tab (and for each query).
Currently this would be possible if open another instance of same connection (Duplicate connection..Ctrl+N) you will be able to switch between by using mouse or keyboard short-cut(Ctrl+tab). Additionally version 8.5 (its RC now) introduces tabbed interface for connections.