To speed up things, do as much as possible in memory and minimize the interaction between VBA and Excel (as this makes things really slow).
The following attempt reads the lookup-list into a dictionary and then processes the data column by column.
I did a test, creating 880.000 lookup rows and 40.000 x 100 cells of data. Building the dictionary took less than a minute, processing the columns took 3-4 seconds per column. I added a logic that after every 10 columns, the whole workbook is saved, that increased the processing time but ensures that after a crash you can more or less continue where you left (the yellow color tells you where, just replace the 1 in for col=1 with the column where you want to restart).
I have added some DoEvents, that in theory slows down the process a little bit. Advantage is that you can see the output of the debug.print and the whole Excel process is not displayed as unresponsive in the task manager.
To build the dictionary, I read the complete data into an array at once (if you are not familiar with Dictionaries: You need to add a reference to the Microsoft Scripting Runtime).
Function createDict() As Dictionary
Dim d As New Dictionary
Dim rowCount As Long
Dim list()
Debug.Print Now, "Read data from Lookup sheet"
With ThisWorkbook.Sheets(1)
rowCount = .Cells(.Rows.Count, 1).End(xlUp).row
list = .Range("A1:B" & rowCount).Value
End With
Debug.Print Now, "Build dictionary."
Dim row As Long
For row = 1 To UBound(list)
If Not d.Exists(list(row, 1)) Then d.Add list(row, 1), list(row, 2)
If row Mod 1000 = 0 Then DoEvents
Next row
Set createDict = d
End Function
As said, replacing the data is done column by column. Again, I read the whole column at once into an array, do the replace on this array and then write it back to the sheet.
Sub replaceAll()
Application.ScreenUpdating = False
Application.Calculation = xlCalculationManual
Dim d As Dictionary
Set d = createDict
Dim row As Long, col As Long
Dim rowCount As Long, colCount As Long
With ThisWorkbook.Sheets(2)
rowCount = .Cells(.Rows.Count, 1).End(xlUp).row
colCount = .Cells(1, .Columns.Count).End(xlToLeft).Column
For col = 1 To colCount
Debug.Print Now & "processing col " & col
DoEvents
Dim data
data = .Range(.Cells(1, col), .Cells(rowCount, col))
For row = 1 To rowCount
If d.Exists(data(row, 1)) Then data(row, 1) = d(data(row, 1))
Next row
.Range(.Cells(1, col), .Cells(rowCount, col)) = data
.Cells(1, col).Interior.Color = vbYellow
If col Mod 10 = 0 Then ThisWorkbook.Save
Next
End With
Application.ScreenUpdating = True
Application.Calculation = xlCalculationAutomatic
End Sub
One remark: You should consider to use a database for such amount of data.
