At the hardware level it's called the program counter, which is a register containing the address of the current operation the processor is running. After the operation is finished, it increments itself and moves to the next step in the program.
Edit: just realized I didn't really answer the question, I believe what your actually talking about is a statement.
I usually jump at the chance to talk about stuff from my old EE days :)
The program counter isn't the only element of that "what the program is doing now" state though. The context in which the current instruction is being executed makes a world of difference.
And the ability to save all of that into a variable so that you can pass it around to other parts of your program means that your programming language supports Continuations.
Edit: just realized I didn't really answer the question, I believe what your actually talking about is a statement.
I usually jump at the chance to talk about stuff from my old EE days :)