I was fairly open about it with my close friends and some family members, particularly with one cousin who had gone through it. I was less open about it with family members who were from "back home" -- a poor, rural, uneducated area where fertility treatments are not common, because they wouldn't understand and would only think of it in a freaky science experiment kind of way.
My treatment took about one year so I'm not sure if I would have felt differently if it had taken years or if the treatments weren't successful at all. I do know that I needed my close friends to know what was going on at the time, though... and I was never bothered when they asked how things were going. In fact, I appreciated it.
I'm a pretty open person with my good friends, though. I think it really depends on your personality, and of course that of your friends and family.